Hi Remon, What year is the car? Some have twin fm aerials built into the car depending on year and the origional audio spec; (beesting roof and second in rear window). They are controlled by either the vw radio unit itself or a box under the passenger seat, this is called "diversity" in vw lingo.
Apart from the obvious checks like ensuring the fm cable is snug and tight to the back of the Kenwood and no snags or cuts to the cable itself.There are a few kits out there designed for aftermarket radios into vw's, just ensure it has the Fakra square black connector such as this example;
http://www.ebay.co.uk/itm/Audi-VW-Aftermarket-Radio-Installation-Antenna-Adapter-/330567935508?pt=Motors_Car_Truck_Parts_Accessories&hash=item4cf7626614This is assuming you havent got one of these or something similair fitted already of course!!
Other things like the cars canbus info changes and the actual Kenwood fm audio settings are another thing to check if above is sorted....
good luck