Well, after a lot of troubleshooting, I have finally found the answer to my problem. This is apparently well known among the 8-valve PD diesels, and is known as head lift, aka loose or stretched cylinder head bolts. I got a tip that I ought to look into this, so I pulled the valve cover and boy, the bolts were pretty loose. I tightened them up, and now the heat/no heat issues has dissapeared.
Pros: heat/no heat issues dissapeared
Cons: cylinder head bolts were loose
Vehicle:
Volkswagen Golf