The earlier (i.e NOT common-rail diesels) don’t need any sort of priming AFAIK with VCDS as the fuel systems are self-bleeding.
The later common-rail diesels DO need to be primed to with VCDS (to be safe) or damage MAY occur to the high-pressure fuel pump.
I learnt this the hard way as I’ve often changed the fuel filter on my BKD-engined A3 (in fact SootySport’s old car!) and when I was asked to do the same to my niece’s 2011 A3 1.6 TDI cabrio (common rail engine) didn’t think anything of it as the fuel filter & housing were identical on both cars despite almost 5 years difference in age between them (both systems were of the UFI-brand filter type ).
However , after changing the filter on my niece’s car (luckily I didn’t empty the filter housing of old fuel , just removed old filter and put new one in) it would not re-start, it would turn over happily enough, it just wouldn’t fire!
It was only after I then Googled as to why it wouldn’t start I came across quite a few horror stories about the need to prime the fuel filter housing on common-rail (CR) engines and that if this isn’t done and the engine-driven fuel pump is run dry (which can happen if the filter housing is totally emptied/dried before putting the new filter in) then severe damage CAN result.
Luckily I have VCDS and was able to prime it and got the car to start, with (touch-wood ) no problems since.
Whilst I may be over -dramatising things , I really would strongly recommend that if you have a CR engine then to prime the filter housing to be safe, or get a garage to do the job if you are in any doubt.
If it isn’t common-rail then no need to as already said , the job is a doddle.