Roger, thanks for the link. That is interesting and I did not know anything about it.

But

All well and true (sadly) but that only gains them entry to the vehicle without the alarm going off. It doesn't allow them to drive the car off,

Right, which is what makes me think they had some sort o key copy. The only people I gave my keys to are:
dealer 1 where I purchased
dealer 2, where I brought the car for regular maintenance
car stereo installer, which is a friend and I would not really expect of doing such thing.

A Polo is hardly a hugely desirable vehicle, all things considered! (Not being unkind - I have a '00 model myself!)

Right. My Polo was a very nice one, black, sporty, and here in Italy small cars are quite desirable since they're good in cities. Still, the average car in that street was better than mine. This again makes me think that they were specifically aiming at my car.

I usually only carry my laptop in my car, and usually don't leave it in there. That was a very special day from this point of view, since the car trunk was loaded. You could not see anything from outside, however, and I had loaded in my garage where nobody could see me.

I have a feeling I've been followed, and that they took advantage of those few mintues the car was left alone since they did know how to open it, get in, start the engine and leave in few seconds.
Unless there is some major bug in the VW key-code which I can't find any reference of anywhere so far, in which case the thieves may have been going around Rome looking for a Polo like mine that they could steal. It does not sound convincing, to me. I don't really know...