Yes, an ELM327 reader ONLY reads standard OBD2 codes that are stored in the engine ECU (if I remember rightly - it's the basic standard that all cars after a certain age have to comply with, emission controls and such).
VCDS/Vag-Com reads codes from the individual control modules in the car using VW/Audi's specific format. That is while a ELM327 reader will grab things that perhaps turn on an engine fault light, they cannot talk to the other control modules in the car, and sadly VW's are full of them as are all modern cars. It won't tell you faults with the central locking, or radio, or the central convenience module for example - specifically the cruise control is managed by the steering wheel module and you cannot retrieve data from it by "talking" in OBD2 to it.
Think of it like this, your ELM reader has enough info to talk to the engine ECU in a format it understands and ask it to send data, it doesn't have the information on how to talk to the steering wheel, hence you see no faults.
You either have to use VCDS, ODBEleven or Carista (there may be others, I don't know them all) to speak to the VW specific systems.
Someone local to you may be able to help retrieve the code with access to VCDS.
As an example this is what mine came back with when the cruise wasn't working and how I figured it was the switch itself ;)
Address 16: Steering wheel Labels: 1K0-953-549-MY8.lbl
Part No SW: 1K0 953 549 BC HW: 1K0 953 549 BC
Component: Lenks‰ulenmodul 636 0070
Coding: 0000042
Shop #: WSC 01279 785 00200
VCID: 74E7B6B6177A05E2B4-8020
1 Fault Found:
00895 - Cruise Control Switch (E45)
014 - Defective - Intermittent
