The Owner's Manual is pretty on cruise control (page 140, on top): "The Cruise Control System also remains activated after shifting the gear!"
Same page in the "Switching Off temporarily" section: "The cruise control system is temporarily switched off by pressing the switch A » Fig. 135 on page 140 into the spring-tensioned position CANCEL or by depressing the brake pedal." (so no mention of the clutch)
So yes, it is supposed to work like that. And yes, it is different from the old generations of VAG models. Personally I don't see a big problem with this since most of the time I would deactivate CC by pressing the brake pedal, not the clutch.