The oil cooler (heat exchanger) is integrated into the oil filter housing assembly. Cheap part but a bit of mucking around to access/replace.
These links should help you:
How to remove the oil filter housing, dipstick, and oil cooler VW Audi TDI 2.0L engine on Jetta, Golf, JSW
VWVortex.com - 2.0 TDI Oil Temp-Elevated?
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