VW's suggested oil change runs about $60 every 10,000 miles and I've got UOAs that suggest 15,000 miles is OK on the oil.
Most cars use a 3000-5000 change interval @ 30-40/pop. I fail to see how they're more expensive. Are you complaining about the $30 fuel filter you replace every 20,000 miles? Or is it the $50 glow plug you replace every 100,000 to 200,000 miles? You do know that 500,000 - 750,000 miles is a normal life expectancy for a diesel engine, right?