My '96 P reg 8v has a lights on buzzer, I think most cars made in the last 10 - 15 years do.
I don't get a chime when I open the doors with the lights off, maybe the later Mk4s have this feature

. A friend of mine has an 05 reg Passat as a company car which has a door open chime, his previous 51 reg one had this feature as well.
Out of interest, do you get a bleeper alarm go off if you take the keys out of the ignition but leave the stereo face on? I have this with the factory fit Sony head unit and also my aftermarket Sony head unit.
Sorry, but I wouldn't know where to look for a buzzer/chime. I would assume it would be somewhere in the dash if anywhere.
Phil