OK, lets go back to basics. Warning lights (well those that indicate some abnormality, before some smart arass says high beam is blue!) are generally two colours - either red or yellow/amber. ANY red warning light means you should stop the car and the engine at the earliest possibility, and not drive it again till you sort the issue. Yellow or amber are generally warnings which will need attention, but you are still able to carry on driving.
Sooooo, you stated the exhaust warning light came on - these are usually amber, and are generally related to engine emissions. Sometimes, if you stop the engine (remove the ign key), then restart it, the light will go away again. If it doesn't return again, just carry on and take no further action. However, if it repeatedly re-illuminates, then it needs to be checked out. Now for some 'common sense' advice - if the light stays on, but there are no apparent adverse running conditions, then it would be reasonably safe to put off or defer any immediate workshop investigations. However, if the engine is running in 'limp home mode' (basically running rough and sluggish, and not revving beyond 3,000-3,500 rpm), then you really need to get it looked at urgently, and ideal don't drive it.
Now, onto the best places for diagnosis of the problem. Volkswagen UK will have you belive that their own franchised main dealers are the best place to go - and in theory, that would be correct - as they have the latest official diagnostic tools (VAS5051 or VAS5052), which can be linked directly to Volkswagen Germany HQ in Wolfsburg. However, many 'so-called' main dealer technicians are thoroughly incompetent, and are unable to correctly diagnose anything more than the most basic tasks.
The other 'official' option for diagnosis is the Volkswagen branded breakdown service. Now, going from bitter experience, these do NOT have the official tools, nor do they have other proffesional diagnostic tools to correctly diagnose the issue. This was about 2-3 years ago, though, and they were changing contracts (the brakedown service was being provided by the RAC using VW logod vans, and they about to change to the AA) - so they may now have improved.
Then there are official Volkswagen Group 'independent specialists', ie garages who arn't part of the main dealer network, but who specialise in VW/Audi (and maybe other German marques). These will either have the same official VAS5051/5052 as the main stealers (and pay a shed-load of money for the privelidge), or use something called VCDS (formerly known as VAG-COM). These companies (providing they have a goo reputation) will usually be far more proficent in diagnostics, will be more 'honest' about the work required, and will generally be cheaper. The downsides, they may not have some all-singing all-dancing coffee machine, and they usually wont have some posh totty in short black skirts to serve you said coffee!
Finally, there are peeps like me - found on various interweb forums - who also use VCDS, and will be able to carry out the identical diagnosis to main stealers - usually for free (or maybe a slab of beer / bottle of vino / box of chocs). The choice is yours, but based on my experience, main stealers and Volkswagen Assisitance would be the LAST place I would go.
HTH
