The problem is it can cause small-scale damage that might only contribute to a pump failure tens of thousands of miles later. There will be many people that say they did it without priming and they are fine.
not that this guarantees it isn't original, but it is more likely to get changed along with the appropriate oil change than say a gas car. What was the history on the car when you got it? How many miles? Fuel filter is plainly stated as a 20k item in the manuals and many shops understand the importance of fuel filter on a diesel engine. If nothing else, see if there is a guru in town you can pay to do just the fuel filter.
Search for 'vag com list' or 'VCDS list' and see if anyone in your area can help you out.
