I can think of a few things which could cause this...
1. When these nuts were last torqued, was a torque wrench used and them all brought up to the full 18 ft-lbs specification?
2. Were any of these nuts old and re-used, so their locking mechanisms were worn out? The safest recommendation is to replace with new, sourcing them from the dealer. The genuine VW TD exhaust manifold nuts are specialty parts, IE not your average locking nut. They have a 12mm wrenching surface size and have a "cutout" near their outer end leaving a separated ring of material that does the locking. When new the ring is peened tight with the main nut body. I have found when used, the ring is no longer tight with the nut body, so doesn't lock very well. But you can peen it back with a hammer to restore its locking qualities. Safest option is of course brand new nuts specifically for VW TD application purchased from VW dealer.
3. Do you have washers behind the nuts? When original, the VW TDs had special, extra-thick washers behind the nuts. Some sort of washers behind the nuts are important because the manifold expands and contracts with heat cycles independently form the head. The washers allow the manifold to slip and slide without it "catching" (and possibly rotating) on a nut.