I could be wrong, but I believe the front temp sensor is for fuelling compensations, being in the water pump output flow, and the gearbox side one is for triggering the fans/dash temp gauge as it's the output from the radiator.
Is your car a DSG? I believe they have an extra thermostat in the temp sensor housing, above the gearbox housing where LC5F mentioned. Could this be stuck shut perhaps? Manuals only have the main stat at the front.
Yes - they do different tasks, but if I recall correctly its the one mounted in the thermostat that runs the fans - Mine had fans on all the time - changed the sensor over the gearbox - no change, had to take out the thermostat that I only fitted a few months before and the fans stopped randomly running.
Inline DSG thermostat is usually open, I can only assume to allow some flow rather than none.
Pretty easy to change, just be careful squeezing past of the pipe connector like this:
The small tube snaps really easily...dont ask how I know.
If your quick with your hands and get the pipes just nearly off you can change them without losing too much coolant.