Hi Glen,
I can't comment on the aux air heater as I chose not to have it as an option because I do not stay "off grid" in the depths of winter. When on hook up I find that my 2kw portable heater is perfect at keeping the van warm and I have never tripped the campsite electricity supply by using it.
If you plan "off grid" camping in winter then you only need to read the VW Cali forums to see that a lot of owners rate them as a "must have" although many do complain that the upper bed area can still be quite cool!
For winter days out I find that the aux water (coolant) heater provides all the functionality needed to warm the interior as required and there is also the rest setting on the climate control which will supply warm air for approx 30mins by using the residual heat from the engine when stopped.
There is also another thread in technical forum that deals with heating, it may be worth you having a read of that.