Dude, check the fuse as mentioned as first port of call. It's fuse 31. Top fuse in the middle column. Will be orange IIRC.
Next, have a look at the plug on the diff. I've seen 2 separate S3s where this has become corroded inside and needed repair.
If you are not getting any Haldex, then expect an error code along these lines:
Controller: 8N0 907 379 E
Component: ESP 20 CAN V005
Coding: 18448
Shop #: WSC 01236
1 Fault Found:
01324 - Control Module for All Wheel Drive (J492)
49-00 - No Communications
