If you want to activate coming home function (cars with auto lights) you have to turn the engine off and flash the lights. Then when you pull the key out of the ignition the lights come on and stay on for the allotted time set on the MFD (i.e. 30 seconds) even if you lock the car.
Can be handy if you're in somewhere which is pitch black.
No idea why you have to flash the lights, but you do.
Another tip is if you have vag-com and set the coming home lights to the front fogs, they will come on automatically when the door is opened. (works on facelift cars)