I've got the parts and am dropping the car off to a local garage tomorrow. I'm getting the oil cooler changed which is part of the oil filter housing and the part actually includes the oil filter and all the gaskets pre-installed. Interestingly the part number I saw on EPC (A6511800810 / A6511800610) are different to the one they gave me (A6511801310) for £78+vat. The part is officially listed as a Oil Filter. They insisted that this is the part I need and also suggested I buy 6 bolts to attach it as well.
I don't know why the Oil Cooler went but I understand that the seal and the part can go. As I understand the hot oil passes through channels in the oil cooler and the coolant passes through neighbouring channels to cool down the hot oil. Presumably a break on the channels or gasket has allowed some oil to infiltrate into the coolant. Luckily it is not the other way around.
I am getting the Oil cooler changed (including oil filter), getting the coolant completely flushed, replacing with new coolant and also getting the engine oil refreshed.