the 2011 golf with a 6 speed automatic (no beetle listed) is epa rated at 30/42mpg (same mpg as the 6 speed manual) the 2001 golf with the 4 speed automatic is epa rated at 29/40 (5 speed manual is rated at 35/44).
But it really comes down to gear ratios and engine tuning, lousy gear ratios give you lousy mileage! the big advantage of a 6 speed tho is you can also tune the engine to run more efficient because you are not trying to make it run over as wide of a range of speeds so you can either get more power out of it or greater mileage.
But to get back to the 4 speed over the 6 speed question, Honda for a while offered their base model civic with a 4 speed manual, 4th gear was a bit taller even then the 5th gear in most other civics of that year so the engine would be turning slower and the spread in gear ratios in the other gears was just larger to make up for it, so the engine would rev up a little higher before you would shift, but your highway gearing was still your top gear and 1st gear was still a nice low gear.
Also, here is a link to the Diesel EPA MPG figures if you want to compare models and years.
http://www.fueleconomy.gov/feg/diesel.shtml