I part exchanged my previous TDi SE for my current TDi Sport with no problems just over a year ago. In fact, the Audi salesman was on the lookout for a good example for a friend of his in tne trade who wanted it for his father in law. Got a very good trade in and overall deal. The SE was with its new owner 2 days after I'd swapped in another part of the country.
At the time I did have a look at the 25th anniversary Golf diesel GTI and the salesmen at VW did say they'd have to get a trade in price from the local Audi dealer as the car was still relatively new to the market.
I'd try other dealers if that's the response you're getting.
Shaf
Nov 2002 TDi Sport, Silver,Black/grey interior,climate. Replaced previous Mar 2001 TDi SE