Jim, you're right. VW ran the headlight current right through the switch and never included relays, mainly (as @WOLFGANG says) to save money.
The problem for us is that it's nearly impossible to find a high-quality switch with beefy contacts made out of real brass like VW used. You can track down some original VW switches or high-quality equivalents if you do some sleuthing, but you'll usually pay mightily for them.
Anything you find in an O'Reilly's, Autozone, NAPA, or on Amazon for a friendly price will look spiffy on the outside, but on the inside where it counts, are only diaphanous slivers of pot metal and alloys that disintegrate when exposed to daylight, air, or heavy breathing.
The normal use of a switch oxidizes the contact points just a tad every time the switch is thrown. This oxidation goes up exponentially as the current through the switch increases. Using relays on a headlight circuit cuts down the current through the switch by a factor of around a thousand, allowing you to get a decent service life out of even a cheapo switch.
The headlight switch on my VS burned out after about the tenth time I turned the headlights on. I was worried about finding a decent replacement that would also accept the knob and bezel that matched the other switches. So, I had VS send me the same switch, but I wired in relays. Six years later, the ersatz switch and I are still happy.