There were two VW transmissions in use prior to 2006, the "01M" and the "09A."
The 01M is a 4-speed Automatic used in many VW 2.0L engines, and the "09A" was a 5-speed, "tiptronic" automatic used in various 1.8T and TDI engines.
Each of these automatics require a different fluid. The "01M" requires the "G 052 162 A2" type transmission fluid, which some refer to as Esso LT71141, which supposedly has similar frictional properties to Dexron-III. Amsoil ATF claims compatibility with Esso LT71141 type fluids, so the 01M unit is the only unit that I'd use Amsoil ATF in.
The "09A" though, requires the "G 052 990 A2" type transmission fluid, which is its own animal. I've heard of some people substituting Mercon-V in these units with success, but I wouldn't recommend it.
If the TDI you're referring to truly has a 5-speed Automatic with a manual shift mode, then its a 09A, and requires the special fluid.
The 01M's fluid is avaliable for about $10/L, and the 09A's fluid is avaliable for about $20/L from GermanAutoParts.com. 3L are required for a conventional pan drop/filter change on a 01M, while 2.5L are required on a 09A for the same service.