The hesitation of the DSG gearbox on take off is a complaint that gets mentiond in almost every single review of the Golf ever published. Most people don't care however, as the numerous other advantages far outweigh this single disadvantage.
As team_v mentioned, if you're stationary with your foot on the brake, tapping the accelerator pedal will engage the clutch for the next 2 seconds so that you can have immediate drive away (at least it did on the MKV GTI with 6sp DSG).
You can also use the handbrake method STV4SYT mentioned.
Beyond that, as you get more familiar with the car and the gearbox, you will learn to adapt a bit to it, and it will adapt a bit to you - however that delay will never go away.
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