Okay, I am 7 years late to this, but I have 2 Golf SDi, both 2004.
Anyway one of them developed the cutting out thing,
also engine running when key removed,
fans running intermittantly when key not in ignition so battery went flat,
buzzing relay 458.
codes were extemely numerous and suggested ECU fault.
Having a spare SDi I was able to methodically swap one component after another. All electrical items made no difference and I started to feel it was the ECU that can't easily be swapped cos of the IMMO.
BUT I did fix it. I eventually noticed a small split in the air intake pipe near the throttle body. Fixed that and cleaned the throttle body up as dust had got in there.... Totally fixed.
An amazing number of fault symptoms springing from this small air leak, but I suppose that is the ECU freeking out over implausible intake values.
Hope this helps someone. It was an easy fix in the end.
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