I have a 2003 VW Jetta TDI. I also own a 99.5 and two 2002. They all use the ALH engine. I work on other's cars, and most of them are ALH engines. My four cars have over 1.5 million miles on them.
I use T6 5w40 oil, and have used it in all my cars since they were new. I change at the 10k mile point, with a new filter each time. Oil analysis (sporadic) says the oil is still OK at that point. I have no experienced engine failure or excessive wear due to oil failure.
The only exception is that because we get cold temperatures for about two months of the year (below 0F), I change out the oil even if it has only 4k miles on it, in late December or the first week of January. This is done to help starting in the wintertime, when the cars get cold soaked overnight with temperatures below 0F. Generally, they start fine at -15F, if the oil is clean.
With a diesel engine the particulate deposition in the oil is much more significant than with a gasser. A normal load of particulates can render oil in a diesel engine to be a much higher viscosity at colder temperatures than at warmer ones. For example the VW TDI engine will readily start at -15F without a block heater or other starting aids. But with dirtier oil, starting at -15F can be problematic even using 0W30 oil. The problem is that the viscosity increase is non-linear at colder temperatures and the effect of particulates is also non-linear. With clean oil I have started VW TDI at -30F without starting aids. Below that temperature even a new group 95 battery will not put out enough power to start a cold engine. (For -40F with a TDI one needs to pull the battery and keep it inside for reliable starting, or have a block heater, booster or other starting aids.)
So from my limited empirical experience, I would suggest that a 10k mile interval is fine. However, if you have allot of city driving, or dusty conditions, you may wish to go with a more frequent change. Otherwise, there is no advantage to much more frequent oil changes, particularly with oil analysis confirming that your oil remains in good condition at 10k miles.
Note: The ALH, on the 2003, uses the VE pump, not the PD.