I have now located the (first = upstream) lambda sensor.
It is under the heat shield:
Sensor itself, and its connector:
I unplugged the connector:
And noted that two of the wires on the vehicle side of the connector were considerably thicker than the other ones.
I assumed that those were for the heater.
I then made Ohm-measurement on the sensor side of the connector at the heater pins:
So around 3 Ohm resistance (measured at cold sensor/engine).
I dont know exactly what is a normal value, but NTK says if above 30Ohm would be abnormal.
So this COULD be a normal value.
At least I know now it is not open-circuited, i.e. not obviously bad.
I restored the connector and connected VCDS.
Engine ECU is not happy, still same error code, and the heater resistance for (lambda sensor) bank 1 is not present at all:
Conclusion so far:
Sensor is not obviously bad (3 Ohm). ECU not happy.
Next step: find out wich pins at engine ECU that correspond to the pins at the sensor connector, and then Ohm-measure the harness to see its condition.