I had not heard it kick in before but when i left it running for a bit last night after i switched it off i could hear that it was going, or i think it was that as i didnt physically look but it sounded like it.
Would you say that it is running too hot then?
Like DH said its normal course of owning a MK2
There are options to cool the engine further but really only if track the car.
I would check if the fans are running you should hear and feel the hot air come off it If you are that worried you can ;
Buy a TDI temp sensor switch that sits on the rad itself the idea is the fan kicks in earlier to deal with heat sooner.
But down side the fan will be on a lot more and can wear out quicker!
Or buy a decent slim line fan can't remember the name of it I think Kenlowe
Third expensive option is to stick a oil cooler to help cooling! (Track)
I've bought a ALU radiator to deal with my heat issues!
If you get stuck in summer traffic stick the heating on at full chatt the heater matrix is your second rad