It's important to remember that diesel's carbon content (generally what people actually care about these days when they talk about fuel efficiency) is about 15% higher than gasoline's. So the CO2 emissions of your Jetta are more comparable to a 35-39mpg gasoline car. That's still good, but not that much better than a typical compact (say a Civic or Corolla). My '99 Saturn gets about 32-35 under similar highway conditions.
Basically: there's nothing wrong with your car, and it's a fine choice (as long as you keep it tuned! Diesel's particulate emissions can go south really fast if they're not maintained well). But don't be fooled by volume metrics. It's still no Prius.
generally what people actually care about these days when they talk about fuel efficiency
I'm pretty sure people still generally care about cost, not carbon.
Why wouldn't a diesel car have an alternator? You need to generate electricity for all the electrical systems (lights, ac, radio, etc). And instead of spark plugs, you have glow plugs with diesels.
My choice of a diesel was not simply to achieve a lower fuel cost per mile. Maintenance costs and reliability are also better due to the lack of certain systems within a diesel engine (i.e. no spark plugs, alternator, etc.).