From the VW Manual - Winter Operations
There is no fuel pre heater. I'm 99% sure. There is a heated fuel filter that is referred to in the sales literature but this is really just passive heating. In other words, the fuel return line is heated by the engine and pumps and by radiant heating. The return line passes through the fuel filter and that warms it. This has been the case for a long time. So if the fuel is close to gelling the fuel filter won't get clogged. After a long drive the return line fuel also warms up the fuel in the fuel tank.
If you're really concerned then you can add an electric coolant heater. You tap the coolant line to install it and plug it into an electrical outlet to use it.
I had to look this up, according to wikipedia regular diesel could get as high as 5oF, winterized fuel should handle -20oF. 32oF is freezing. 5oF is -15oC.
Chitty had it correct - the fuel filter is heated. Here's the text from my 2010 Jetta TDI manual:
From the VW 2010 Jetta TDI Manual: Winter operation
At temperatures below 20° F (_7° C), Diesel fuel NO.2 loses its fluidity due to wax separation, which may clog the fuel filter or tank filter and keep the engine from running. To help the filter from being clogged by wax, the fuel filter in your vehicle is automatically preheated. Preheating the fuel filter makes operation of your vehicle possible with Diesel fuel No.2 down to -10° F (-24° C).
If you expect temperatures below 5° F (_15° C) ask your fuel dealer whether their Diesel fuel NO.2 is sufficiently winterized for the prevailing and expected temperatures. If not winterized or insufficiently winterized Diesel fuel has already thickened to the extent that the engine will not start, warm the vehicle up by leaving it in a heated garage.
It is normal that the engine noise level (dieseling) is louder during the warm-up period in the winter. It is also normal when whitish-blue smoke comes out of the tailpipe after starting and during warm-up. The amount of smoke depends on the outside temperature.
VW stops short of telling users to use fuel treatment themselves but how can you ever be sure? I talked to a landscaper who plows snow with Diesel equipment. He recommended "Power Services" additives. In fact, they have one called "Diesel 911" for tanks that have gelled.
You can read their FAQ at "powerservice.com".