Maybe air in the cooler? I remember reading something about having to prime the cooler to get any extra air out of the lines.

http://www.thesamba.com/vw/forum/viewto ... er&start=0

Take the oil return line off the engine and hold it over a drain pan. Remove the coil wire and have someone crank on the engine. Oil should come spewing out. If it doesn't, something it blocked, installed incorrectly, etc.