Im pretty sure its normal for nothing to happen if you unplug the connector to the Idle Control Valve/Motor. As far as I know, the Idle Control Motor goes to 'completely shut' once the engine is warmed up, and the idle speed is set with a set screw on the passenger end of the inlet/throttle body. (Unlike the fuel injection systems on most American cars). So you could disconnect the wires to the Idle Control Motor once the engine was warm - and it would not make any difference. I have a 90 Jetta, that came with the rubber tubes closed off, and not Idle Control Motor. Its starts just fine in warm weather - which is al it sees in far south Texas where we keep it.
For a rough idle, look of course for leaks in vacuum lines. I dont recall if your Jetta has hydraulic lifters, or mechanical adjustment lifters. If its mechanical adjustment, I would check and set them; and I like to use about .001" or .002" more valve 'clearance' than the factory specs call for. It may make a little more valve noise, but there is no chance you would ever burn a valve.
Could it be your idle speed is too low? That would make it rough. Again, you can adjust the idle speed on a MkII Jetta, though you cant on most of the fuel injected cars after 91. They probably make the idle adjustment tricky to get to though.