If the warning light comes on, then there is an out-of-tolerance situation that the ECU knows about.
Try to find someone with a 1551/VAG-COM unit to give you a second opinion - there will be a DTC of some sort, but it may be one that Audi know isn't particularly serious, or maybe one that they don't want to fix for some reason.
If you're ever near Manchester, I'd be happy to give your car a full scan to see what the problem is. However, at the end of the day, it could be that a new ECU is needed - don't pay Audi money though, go to a breakers and just have the thing recoded. Should be about £150 all in.
WAS : A2 TDI SE 2001 Ebony Black Pearl (The Little Tank!)
NOW : A2 TDi 90 Sport, OpenSky, winter pack, ISOfix, fogs, climate control, all-round electric windows, Blaupunkt DAB54, genuine HID xenons and red leather! Not to mention CCC Tech chipping (118bhp) and all round tinting.(The NEW Tank)