The radio may be expecting some information from the CD unit to say, ''hello, I'm connected", and because it doesn't receive that message it doesn't think there is a CD player there. (probably through the k-bus)
Sounds very much like the BMW iBus system.
You may have to find out if someone has hacked the Audi k-bus
Edit. This Thread might help a bit, it tells you a bit more about the Canbus etc, but doesn't tell you all you need, you will have yo carry on the search. The user MiT, I believe, fitted a carPC and he used to be on Digital-car.co.uk (might have been on here as well, not sure about that though)