Ok, seen many post with owners of different audi models with this issue, couldn't find any who had resolved it. After an afternoon with the multimeter I sorted the problem so hopefully the following fix may help a few people.
The central locking, alarm, remote key receiver etc are all controlled within a combined electronic module and pump unit located in the N/S side cupboard in the boot, it's wrapped in foam and positioned between the rear light cluster and sub.
When you lock the car with the remote key fob there is a separate feed from this unit via a relay to the indicators that blinks twice when the car is locked. This relay sticking is what was causing the problem leaving the indicator bulbs lit constantly with the car locked. The relay needed to be changed.
Heres the unit:
Remove the grey top cover:
Gently lever the pcb out:
The relay for the indicator flash is the square middle bottom one, marked with part number: V23072-C1056-A108.
The relay is soldered onto the Pcb with 5 legs, easy to change if you have basic soldering skills.
This relay is an old part number now, you can also use V23072-C1059-A208. or V23072-C1061-A208 or V23072-C1061-A408.
After changing the relay all is good. The alternative is to buy a whole new pump / alarm module which I was quoted just shy of £300 for!