You do have to bleed the system, thats why there is a bleed screw! I've always needed to bleed it, while my mate has never had to when breaking into system, just luck I guess.
Anyway, I had the same problem, after hours of trying it finally bled, my method was;
Open the bleed screw by a couple of turns, using a long length of clear ( screenwash) hose from screw, up over wing into a bucket, have someone else topping up. Jacked up front of car, work steering lock to lock while revving engine quite hard!- important!! You'll see a small amount of fluid passing through pipe, then suddenly a big air bubble, and pressurised fluid will start to flow.
Hope this helps, some may say its wrong, but its worked for me a few times on a 300tdi
Good luck ;-)