I can't comment specifically on the 4.2TDI but my 2011 3.0TDI D4 does take about 20mins in such cold weather. My old D3 with the 3.0TDI was definitely faster to warm up. The D3 had a webasto fuel heater but the D4 doesn't if that makes any difference.
The D4 also runs at lower revs due to the 8speed auto rather than the 6 speed on the D3. You will notice a significant improvement in mpg over a D3.
The coolant pipework on the D4 has electronically controlled plastic valves that give problems. Some info on these was posted previously on the D4 section of the forum. A VCDS scan should show any faults in this regard.
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