If the car was specced with leather seats from the factory it should have heated seats as standard as the above poster has said. My CSG MK6 GTi has leather and has the heated seats.
I remember buying a new mk4 GTi Turbo for the wife back in 1999 and heated seats was part of the leather upgrade option. I believe that's always been the case with Golfs, you spec leather and you get heated seats thrown in as part of the package. I'm almost 100% certain that if you spec leather from new i.e. a factory order the heated seats come with that option.
If the car you're buying hasn't got heated seats it may be that the leather interior is a retro fit.