So I know I've suggested it to folks before, but I finally got rid of the "pre-heated" fuel filter on Jezzie yesterday.
Just for reference, this is the "correct" filter for my application - it has the mounting location for the "recirculator" valve:

Jezzie has had some persistent bubbles that come and go. Generally if I fire her up after she's been sitting I get a few, and I'd always suspected they were coming from the "recirculator" on the return line to the filter. Of course the "fun" thing with that is that any air in your system just keeps getting circulated around back through the filter and in to the engine again until the fuel is finally warm enough to close the valve. It makes purging air from your pump a complete PITA.
Anyhow, not all cars had the circulator valve, so I did some poking around. If you search by application, '1985 Jetta Diesel' comes back with a filter that doesn't have the spot for the valve on top (AND it's a $10 cheaper filter!!)

It's trivially easy to just connect the two return lines together, and then presto no more air getting in to your filter!!
Whenever I've changed the filter in the past it's always been a pain to purge the air out - you have to mess around for a while before you're not getting any more air bubbles in the supply line. After the change it was basically instantly bubble-free fuel. Sooooo much easier.
If you live somewhere cold enough that you have fuel gelling issues, I'd recommend an actual heated filter instead (like one with a 12V connection). If not (and with today's diesel unless you're somewhere REALLY cold you should be fine) then ditch the stupid "air-in-to-my-filter" valve and get the filter that doesn't need it!