Was the car started from stone cold or warm ?
Diesels take much longer to warm up than petrol. For instance my wife's Polo Blue GT can go from stone cold to normal (on the temp gauge), with warm air coming out in about 2 miles (4-6 minutes), whereas my GTD will take at least 7-10 miles and 15-20 minutes to reach the same temperature (obviously times fluctuate when the ambient temp is warmer or colder, the above is just as an example).
Thus, for my journey to work in the morning (approx. 10 miles, 30 minutes A and B roads), I usually at this time of year end up with around 42-45 mpg. However if I do the same journey when warm I can usually add 5 or so MPG to that figure.
My GTD really only starts to show it's advantage on a good run. For instance on a trip to Scotland a month or so ago, 480 miles round trip, adaptive cruise for pretty much all of it set at 75mph, I got a true 58mpg. If I'd have set the cruise to 65-70, I'd have easily topped 60mpg (best I've ever had is a true i.e. calculated, 64.7 mpg over 150 miles on a slow cruise back with my elderly parents in the back).
Also, don't forget that generally DSG adds around a 4-7 mpg penalty in MPG over a manual box (eg according to the official figures - Extra urban - 76.3 vs 68.9).
Basically diesels don't perform their best over short journeys, and only really come into their own in journeys over 50 miles or so. Having said that, even high thirties or low forties on the warm up cycle would probably still beat the mpg from a petrol GTI (although maybe not by much), and certainly much more than an R, so whatever MPG you get, it will almost always be better than a petrol equivalent, after all, it's one of the main reasons people (like me) buy them in the first place.
TBH though, now my mileage has dropped, if I was buying again (which I'm not), it would most likely be a GTI not a GTD, as the difference in fuel costs over my 8,500-9000 miles per year wouldn't be that significant.
