Did you clean out the expansion tank after replacing the oil cooler? It can be pretty tough to get oil out of a contaminated cooling system. At my shop we do long flushes, hot water works well, but obviously without chemical help you may not be able to get it all (I'm personally not a fan of chemical flushes of any kind). Did you verify that the oil was getting in from the cooler? The coolers are fairly common failures on VW's.