IMO, it's not worth it. VW provides a recommended price for the parts. As long as the dealers have no reason to give you a discount, they will sell you the parts at that price.
One reason for a discount could be, for example, if you are purchasing on behalf of a company (that the retailer knows). I remember my time in the German army, where I would always go to the retailer and say, 'Part xyz for private individuals affiliated with the German army.' I know of similar situations with people who go shopping wearing the uniform of the local electricity company. The retailer doesn't usually ask further questions because their primary interest is in selling parts, and they still make enough profit even with discounts.
A friend of mine owns a car repair shop, and I occasionally help out with simple automotive electronics issues. This allows me to purchase things through his company and take advantage of his employee discounts.

Therefore: Either you know someone who gets a discount, or you consider which groups of people (and there are many, believe me) might be eligible for discounts, and whether you might know someone in those groups. Otherwise, it probably wouldn't be worth comparing.
Good luck with the price poker

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-Private