The back of the radio HU has a series of sockets into which various plugs are inserted; one of those sockets is for the connection to a CD player. My B5 came with a cable running from that socket to the left rear compartment in the trunk, where a multiple CD player would be installed if the car had one.
Soon after buying the car, I added the VW-branded in-dash single CD player. The player came with a short cord, on the end of which was a plug that fit into the "CD" socket on the back of the HU. No separate ground connection was needed. The single player unit had an additional socket on its back panel of the same form, so that the cable to the trunk could then be plugged into the back of the single player unit; if I had a rear-mount multiple CD player, the front panel button on the single CD in-dash player would select which player was connected to the HU.
If the connector and socket are both in good condition and not staying put, the connector is probably not completely seated. You might try gently bending the pins just a little to make sure each makes connection with its mate. No additional wiring connection for lights is required.