the fuel cooler (as already stated) is in the return lne back to the tank, it's purpose is to stop the fuel in the tank getting too hot which could damage the level sender/pump/tank.
this cooler was only fitted on the PD engined cars.
adding additional fuel cooling methods to the PD engine is not going to make a difference, the fuel is pumped through the filter and up to the tandem pump where it is then fed through a tube running inside the cylinder head that feeds the individual injectors. this "distributor tube" is cross drilled and hot return fuel is mixed with the incoming fuel so as to even out the fuel temperature accross all 4 cylinders. and also, the cylinder head is hot, and this tube is going to be just a hot (~90) so basically, the fuel is going to get heated up in this tube before it gets to the injectors no matter how cold it is before you put it in the head.
also in the PD fuel system cold fuel can lead to injector failure and poor spray pattern.
on a rotary engined TDI this may be different and fuel cooling may be a necessity but i wouldn't know about that!