I had the same problem on my mk5 GTI except mine was cold only on passenger side no matter what temperature was set and driver side (RHD) was correct temperature depending on what was set.
Luckily I'd recently got vcds and was able to see where the problem was. It was one of the motors that controls the blend flaps next to the base of the heater box. Bit of a mongrel to get to as it required removal of the glove box. Yours will probably require removal of the dash trim under the steering column.
I'm in New Zealand and bought a used motor for about £10 from a wreckers in the UK on eBay.
And here's another one they've got:
http://www.ebay.co.uk/itm/VW-Golf-MK5-Air-Heater-Vent-Flap-Positioning-Motor-1K2-907-511-C-0-132-801-342-/331782595575?hash=item4d3fc8a3f7You can see if that part is the problem by disassembling enough to see the flaps move when you change the different settings on the climatronic and if one side moves and not the other when changing temperature for each side.
If you find a flap not moving you can probably move it by moving the motor by hand to move the flap and see if that makes the vent blow hot air.