Which caliper did you purchase, out of interest? I've seen some aftermarket red TRWs (same as OEM) at varying prices. I need a pair and want to avoid fakes!
As above, sometimes they can be coaxed back into life, but the majority of the time, they're goosed and need replacing.
Ford Focuses, or is it Focii? use the same calipers and they fail, die, give up and moan in exactly the same way. Integrated handbrake/calipers are just utter w@nk by design and is why beefier cars use separate calipers for the handbrake, or drums inside the rotor. Just be thankful it's an older VW that doesn't use the even more w@nky and hideously expensive electric calipers