take coolant reservoir cap off...run the car...turn heater on full blast on hot...massage the hoses...you should get some air out if air is trapped...see if the bottom hose gets warm at 90...(try not to get it past 100) if not warm then thermostat is not opening for various reasons..fans should kick in at some point...
.anyways the water will start bubbling in the reservoir tank if your water pump is working.if not you might be very sad as water pumps don't last long when they are pumping air......which is a good reason to turn off the ignition...leave cap off of reservoir overnight and then check level in the morning...top up if needed..put reservoir cap on and then heat up car...if heater is blowing well and hot..then success! if not you may still have an air pocket..if heater is blowing poorly then maybe air pocket..maybe something else...
vw made the thermostat change very very difficult...(hence some people are scared to do it..like me...

by the way there is a valve in the coolant reservoir that is a one way valve that will let out fluid if needed...it is hidden under the plastic black thing on the side that says G11 (at least mine does) just open the cap when it is hot and quickly close it and you will see that fluid is coming out of somewhere.and will find it under the black thing...-not recommending that you do this..but they do have a fail safe to make sure the pressure does escape if it is excessive..
maybe you just put the thermostat in backwards???-I've learned to take pictures of everything if I am doing it the first time (or have pictures on hand of other guides which look exactly like mine..
Good luck!
Why don't you get someone to make a short video of your problem and put it up for people to see..
links FYI
http://faculty.ccp.edu/faculty/dreed/Campingart/jettatech/coolingmaint/index.htmI like the picture of the thermostat...shows which way it should be put in...
may not need this,but for completeness..
http://forums.vwvortex.com/.php?5691585-Power-Steering-pump-removal-please-help&highlight=power+steering+pump+removal