Why does power to my clock just stop when the engine is off?

Do you mean the clock that's on the Radio? I'll assume you had the car car a while, so you did not work on anything lately. The clock is on the same circuit as the memory for your preset stations... if you lose the clock then you should lose your presets too. The radio has 2 power supplies .... one is on all the time and the other is only on when the key is on. The always on may have blown a fuse ... if your presets are gone to then that's the cause

sorry tom but vw's and audis have the clock built into the dash cluster. If you have power failure to the clock you most likely have a cluster issue. Take your car to a certified vw or audi specialist one with the proper electronic diagnostic tools and have them do a check on your cluster they will find whatever is wrong there for you.