Well I've now tested the alarm in my wife's August 2015 Polo, I unlocked the driver's door using the key in the lock barrel, immediately opened the door and the alarm went off, so it sounds a lot like VW have knocked the alarm delay timer now to near enough zero at factory - I did not expect that but that suits me.
The issue concerning the "leave windows open" then lock car then after the alarm has been set indicated by the steady low frequency flashing of the door mounted LED, and then waving an arm around inside the car - but no response from the car's alarm, I have not checked that one yet, but I'd think that it would take a lot of waving to activate the alarm, just look inside the car and see what the "cone" of coverage will be, and you will be able to work out that interior monitoring is quite crude. With my 2011 Audi S4, for some reason it seems that model of car is still one of these cars that is prone to get nicked, even at that age(!), the normal method of getting control of that model of car is to "quietly" break the driver's side window, reach in with a computer lead into the "very reachable" OBD2 port and generate a dummy key, unlock the car, start it up and drive off. Normally it seems the plan is to then park up in a quiet area, hard against a hedge or wall to disguise the fact that the driver's window has been smashed and leave it until the heat has died down. With that in mind, I have fitted a mechanical lock to that car's OBD2 port and use a steering wheel cover/lock when away from home. Oh and I must remember to know the alarm delay on that down to zero as I think that it will have been set to 15 seconds at the factory.
Edit:- sorry I meant to point out that that model of car, the 2011 B8 S4, also has extremely poor/crude interior monitoring coverage and that is why it is very easy to reach the OBD2 port through the broken window, without activating the alarm, and it is a non KESSY car.