Most, if not all, modern h/units need 2 lives, a permanent live and a switched/ignition live, because Mk2 golfs/jettas were never wired with an ignition live you need to eithr run one from the switched part of the fuse box or splice into the ignition switch (position 2).
The additional loom you bought provided a live to the switched part of the circuit by shorting the permanent live to it ie always on.This might be why the illumination wasn't turning off because the stereo wasn't actually switching off.
Either cut the yellow wire on the loom you bought and attach this to a switched live or as previously said remove the front panel every time you leave the car
