It has always been technically illegal to fit Xenon bulbs to a car that was designed to have Halogen bulbs, the law was clarified in 2006 (
LINK).
That said, in practical terms: if you have an Audi B6, you will have a proejctor style headlamps, so as long as you check the beam pattern and the car get's MOT'd when it's clean and level, it will pass (incorrect beam pattern is an MOT fail) and you will be unlikely to be stopped.
I've only ever seen the proper little chav-chariots being stopped and I'm sure they did a bit more than just having suspiciously blue headlights.
If the lenses are dirty and you're dazzling oncoming traffic, then there's always a chance you'll get stopped: and then it's jsut a question of how picky they're being, but if they're after Aftermarket HID's without the required extras: no headlight washers will be immediately obvious and when you switch the lights one they pan up and down before finding their level, so the auto-leveling is pretty obvious too.
If there is a national move to clamp down, then technically you are breaking the law by either fitting or using a car where they have been fitted, unless the entire headlight unit has been replaced with one that supports auto-levelling and the car has headlight washers.... maybe jsut get soem colour coded stick on "headlight washers" to complete the look and get yourself past a casual visual inspection