Fitted R20 steering wheel into my MK6 (with the same 1K0.. CH steering module as MK5) and all buttons work but they wont illuminate. Yet.
To get your buttons illuminate on MK5 you will need to swap the steering module from newer model 2010up. To make it easier I made myself wiring adapter so I can always remove it and put original module back.
I test fitted it in my car and on ady-uk
2005 MK5. All works as it should, buttons, illumination etc.
Also tested 3 or 4 MK7 and Rocco wheels with cruise buttons and non of them works with 1K0 or 5K0 modules. Only the one without cruise buttons works.