On cold mornings, the orange glowplug warning lights on my 2008 VRS 170 CR DSG, take up to 5 seconds to go out. When they do, I hear a muted coughing, grumbling sound. I then turn the key, the engine fires up and runs perfectly.

Should I be worried?

if the engine starts be happy if it don't start be worried

If you do have a problem and it is glowplug related then it will soon become more apparent as the mornings begin to get colder.

As a preventative measure you might want to try and get the car scanned, a faild or failing glowplug will log a fault.