I had a similar problem last summer, wound up putting a new seal in the driven end of the injection pump. Every time I shut it off, fuel was dripping out of the pump and letting air back in. Pull the timing cover off and look for wet at the end of the pump. A new seal cost me about 20 bucks, put a new timing belt on while I was a it, there was deisel on the belt.
There's another just downstream of the water seperator underneath the passenger rear floorpan.
I deleted my water seperator because the Jetta spends all of her time on the highway. The road debris was slowly blasting it apart.