It could be the O ring around the sensor or the plastic housing itself. I have the same problem with our Polo at present. Only a small leak but I need to deal with it. I bought a new O ring & inspected the bore for any cracks[can't see any] but with the new O ring fitted to the sensor it doesn't seem to have the correct fit. I fitted it with silicone grease but it still leaks. My guess is the plastic has enlarged with time. Unfortunately the new part is $191 that only comes with a new thermostat, temp sensor etc.
Understand how it works, troubleshoot logically BEFORE replacing parts.
2001 T4 TRAKKA Syncro 2.5TDI,2006 Mk5 2.0TDI Golf manual,2001 Polo 1.4 16V manual [now sold], '09 2.0CR TDI Tiguan manual,
Numerous Mk1 Golf diesels
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