Sounds like the glow plugs are working OK, when they are activated, but there's some sort of intermittent problem with the glow plug activation circuit or timer which means the plugs are not beign switched on when you turn the ignition key.
If there are any VW specialists on here they might know if there are any common failure points in this circuitry on this engine.
All I can suggest is get an auto-electrician to check the wiring and plugs leading to the glow plugs for continuity. If that's all OK then maybe check the glow plug relay and then the timer circuit?
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