I have this same problem on my 1999 Mk4. I followed the useful tip of removing the fan speed knob to check the bulb but the bulb filament is intact. What is the next connection to check? Many thanks.
Fixed, the bulb no. is 286 and its 12v 1.2w, £1.99 from halfords or 45p with a trade card. I had to wiggle it about in the holder for it to work, so it might be worth a go. Also it does light up the whole heater panel. cheers.