Had a similiar problem with my Passat sometiime ago. Turned out only to be oil cooler, not a big job at all. Head Gaskets very rarely go on the TDI so would definately try oil cooler. My garage asured me it was head gasket, but they were wrong. My symptoms were oil in the expansion tank but no oil in the sump or on the end of the dipstick. If you do the oil cooler you will find you need to flush the cooling system a few times to remove all the oil deposits. When it was all gone I also replaced the expansion tank as the oil had badly discoloured tank. Its a very common fault on these.