I had the same with my 98 2.5 TDi avant, not long after I got it. My problem made the same noise at full lock, but disappeared after I'd been driving for a bit. Turned out to be a low level of power steering fluid. The noise disppeared 'cos as the fluid warmed up it became less viscous. Topped up the fluid and hey presto it disappeared. Checked for obvious leaks but couldn't find any, in fact haven't had to top the fluid up again since then (about 2 years ago).
Give it a go, and I guess be a bit concerned if you are clearly losing power steering fluid quickly.
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