This in-line crimped connection is in the loom that runs between the steering column stalk plug & the On-board supply unit, (J519). You'll just have to located any of the BLACK/YELLOW wires & follow them until you find where the actual joint is located. Once you have the steering column trim panels off it should be fairly easy to find it.
If this joint is like others I've seen it consists of the bare conductor of each wire crushed that hard together they "fuse" together, then wrapped up to insulate them with a bit of tape. Once damp/corrosion/over crimping sets in they easily fail. Once you find the joint I'd re-make it with a soldered joint, far better long term !!
Sigh!!! I've traced the wires as far as I can up behind the steering wheel but before I start dismantling the rest of the dash I'd rather know if I'm going to find it or not or if there's anything else I should know.
If you've followed the BLACK/YELLOW wires from the Central Control Unit, Body Control Module, whatever you want to call it, (J519) & not found the joint yet it must be further up the steering column somewhere.
When you buy the VW kit for cruise control, it's the same parts that VW would fit, the short loom that comes in the kit only stretches between the steering column stalk connector & J519 with the exception of one wire, another BLACK/YELLOW wire, which routes to the engine ECU, (located under the main vehicle battery).