The early tdi's are probably less economical in winter driving because of the diesel fired water heater, but not by much. I'm sure they warm up quicker which is good for comfort, engine life and economy but burn extra diesel in doing so.
Later cars have an extra electric heater - which I think only warms the interior and not the engine. The alternator will work harder to provide the power, which in turn will cause the engine to use more fuel.
Overall, I think the fuel consumption on my car increases by approx 5mpg in winter, partly due to the heater and the rest due to increased drag of cold tyres, bearings, transmission oil etc.
Cheers Spike