I also use shell oil, and I find it bloody good oil for a very good price, so much so I picked up 25lts of it for my daily and the misses car, I wouldn't go back to another oil I don't think, when I did the head on mine the the head I took out was spotless from the shell oil, shows the additives are doing its job
I also lowered the service interval to 10k miles fixed servicing and with 8 litres of oil in the sump, 10k is probably nothing for all that oil but it keeps my mind at ease.
That filter looks much dirtier than a 10k old filter even though they do seem to get very dirty on the 3.0tdi's for some reason, and also the fitting of the filter is quite awkward compared to most cars, I have in my ultimate wisdom fitted the air filter and caught the top of it, I now fit the filter Into the top half first then locate it into the bottom half instead of the other way round.
I never fill the fuel filter with oil, I can't remember if it self primes on ignition, but I usually prime it using VCDS, whilst resetting the service light, I suppose at worst case you could suck the fuel through with some kind of vacuum implement, suppose it just saves faffing with diesel in a can.