It sounds like a '95 Golf (with air) is different than my '92 Passat (without air). On my car, if you follow the vacuum line from the diaphragm on the pump, it goes back to the firewall, over to the driver's side (in Canada) fender to an electrically controlled switch hidden behind the battery. The vacuum supply for the switch follows the same route, but goes directly to the check valve on top of the vacuum pump.
If you start at the diaphragm and check the hose for vacuum (while the car is cold - you have about 2 minutes from first starting the car, or, turn the air conditioning on), you can work backward to see where the vacuum stops. Make sure your electrical connections and wiring on the switch are good as well.
Just had another thought - I'm constantly correcting the vacuum lines that get screwed up whenever I take the car in to a garage for repairs, the mechanics mess up the lines all the time, they don't care how they are supposed to go. Maybe your vacuum lines are not attached correctly?