Hi funk-star, welcome to the A2oc.
The TDi engine has a 3kW auxiliary coolant heater (fuelled by diesel and works like a tiny central heating boiler) This is automatically switched on at temps below 5 degC. The ECON button is used to switch this off to save fuel.
Personally, I leave it on most of the time in winter and only use the ECON button if the car will only run for a few minutes - like pulling it out of the garage. If you don't, the heater will go through a long winded start-up and shut-down cycle, even with the ignition off.
As you say, if you had aircon it would also switch that off.
Cheers Spike