Sealers are necessary on some kinds of gaskets that don't come with their own sealer pre-applied. For example, older headgaskets without sealer or "pure copper sheet" headgaskets call for added sealer to reliably contain oil and water where it needs to be. Sealant is generally not relied upon to seal combustion pressure however.
All VW headgaskets (both fiberous and multi-layer steel) come precoated with their own sealer, and so their installation instructions always say that adding extra sealer is not needed, or recommended.
All headgasket problems I've encountered on VW Diesels have been with combustion pressure getting out, usually escaping out into the water jacket on the the side opposite of the prechambers. The seal surface of the head back there is hollow and weak. The more a head gets milled, the thinner and weaker this area becomes. Heat also might make this area bow away from the block, as the failures are often caused by coolant loss and overheating that follows.
My local VW engine builder who has done lots of VW Diesel builds is a fan of "copper spray a gasket" type sealers. I have tried this one on a few of VW Diesel headgaskets:
The theory of why it can help is that the copper particles help promote heat transfer between head and block. I'm not sure if they do or not. The above headgasket (coated fiberous gasket with headstuds on the VNT Rabbit) sprung a leak, just like happened previously with an uncoated, stock headbolted fiberous headgasket. The head measured flat, but it could be that is has a weak spot which pulls away from the block surface when it gets heated up.
The next try is going to be using a multi-layer steel headgasket. Besides simply being stronger to resist blow-outs, they have added elasticity so they should better conform to the moving surfaces than the fiberous varieties.
