Update - looked again after I got home from work today. My drive is about 40 mins, 20 miles of which is highway. I still did not see any noticeable leaks. Some oil in the valley - yes. No idea where it's coming from. I talked to the dealer where I purchased the car and they sent me the invoices for the parts they purchased and installed including the oil cooler. They purchased the parts directly from their local VW/Audi dealership. Those parts are warrantied... and have only been in the car a little over a month.
So I called my local VW dealership back who said my oil cooler was the issue. I told them I have the receipts for the parts and they are all genuine VW parts. I forwarded them all to them via email. So the service advisor said that he would talk to their shop foreman in the morning but he thinks it means they will replace free of charge. I'm not so sure that's how it works but I'll take that if they're willing to do it.
Worst case I get the replacement parts for free and have to pay labor. I'm still not convinced it's the oil cooler so I'd rather let the dealership do the work and replace what they believe is wrong. If it's still leaking after that they should stand behind their work and their diagnosis. That and whatever else could be leaking after the oil cooler should be covered under emissions warranty. I will reach out to them again tomorrow to see what the game plan is and when I can bring it in to have the work performed.
Here's a list of the parts replaced by the place I bought it from.
059-117-015-P Oil Cooler
N-908-091-02 Seal Ring