There's supposed to be a chirp?! Whaaaat???
Yes you can activate it via vcds
This.. you can activate it within the VCDS menus... suggesting that you've had it switched on previously, so yes, most likely the siren has gone. A scan would reveal this.
IIRC, the siren is located in the drivers side wheel arch, take the arch lining out and you'll see it mounted up and to the rear of the OS wheel arch, it will need "encouraging" out, I replaced mine for £30 off ebay and used a series of small cables ties (6 in all over 2 holes) which made it very secure (18 months ago now, and good).
Part number: 1K0 951 605C