Your Golf has an engine management system that enriches the fuel mixture when cold, retards the injection, and increases idle RPM precisely for this reason - it's all calculated. What you're feeling isn't a defect, it's the engine still reaching its optimal operating temperature (roughly 80-90°C). The others are right that it's normal, but it's mainly a matter of electronic control: the ECU knows that with a cold engine certain performance has to be sacrificed a bit.
5-10 minutes is exactly what a modern car needs, especially if it's a diesel. If after warming up everything returns perfectly to normal and you don't notice any other oddities (strange noises, warning lights on, unusual fuel consumption), there's nothing to have checked by a mechanic. It would be different if your Golf kept losing power even with a warm engine, or if it started with difficulty even at decent temperatures.
The only thing to check, if anything: are you using winter fuel when you should be? In certain periods of the year, especially if you live up north or in the mountains, the quality of diesel/petrol changes to help with cold starting precisely. Nothing else to do.