I filled my tyres to 2.4 bar the other day, and tried out the tyre pressure button (I've only just got my GTI). So I turned on the ignition, and pressed and held the button and waited for a beep. I didn't get anything though. Eventually I let the button go (probably after 10 seconds or so) and it beeped as soon as I let it go. I tried it again, holding the button for even longer, and again it only beeped when I let it go. Is that what's supposed to happen?
Nope. That sounds like the TPMS was never 'initialised' by the stealer during the PDI.
OK, try this. Double check the actuall pressures in all four wheels again. Use only a PCL-type pencil tyre pressure gauge or a dial type gauge. Do NOT use any of the 'digital' pressure gauges - they are just far too unreliable. And don't rely on the gauge on the tyre inflator at you local petrol station, nor rely on the gauges (digital or analogue) on portable 12 volt tyre inflators.
Then, to "initialise" the TPMS, sit in the car (and ideally, have your normal 'loading' in the car too), turn on the ignition, start the engine and put on your seat belt (or wait for the seat belt warning to disappear). Then, press and HOLD for at least 2 seconds (so make that 5 seconds, just to be sure

) both the TPMS and ESP buttons at the same time - and watch the instrument panel. Whilst holding both buttons down for at least 2 secs, you should a warning 'bong/ping' noise, and the TPMS amber warning light in the dash should briefly illuminate. Stop the engine, get out, lock the car, wait a good five minutes, and then the TPMS should be fully activated (and also have the tyre 'pressure' stored - although to be pedantic, it doesn't actually store the actual pressures).
How are you meant to know how long to hold the button?
Normally, about 2 seconds.
Do you reckon my pressures are set correctly?
The ONLY way to guarantee that your pressures are correctly set is to use your own old skool tyre pressure guage. The TPMS on the Golf5 is actually shyte.