turbo009: The use of "Thermostat" in connection with car heating/cooling systems usually makes people think of the thermostat in the engine block. None of the cabin heating control elements is usually called a thermostat.
The thermostat in the engine block isn't likely to cause the cabin heater to deliver hot air when set for cold. The usual cabin heating fault associated with the engine thermostat is a lack of hot air, caused by a stuck-open 'stat and slow coolant warmup.
vwbasset: You haven't said if you have Climatronic or not. With Climate Control the temperature control flap is motorised. The servomotor is controlled by the Climaronic unit, packeged behind the screen and buttons in the central dash.
With manual temperature control, the flap is worked by the rotary temperature control on the fascia, through a Bowden cable.