I think it is more nuanced than that.
In the UK at least, recent research has shown that many private car buyers have availed themselves of lease hire or PCP balloon (as opposed to Hire Purchase) deals when financing a car, due to the lower monthly payments available. This has favoured premium marques such as Audi/BMW/Mercedes in recent times.
The exit to PCP deals at the end of their term is either to hand back the keys, trade in the car for a new one on a similar deal or to pay the residual value agreed when the deal was signed (less any mileage or condition related excesses).
Therefore for PCPs in place before this story broke, the economics of the deal are already locked in - the contractual residual was agreed at inception and so any diminution in value is the problem of the Finance company rather than the driver.
The Finance company is more likely to have exposure to more than just VAG brands, and so their exposure is diversified away to a degree anyway, particularly if the Financing cash flows (carrying a fixed interest rate) have been securitised and sold on to a wider market who will be diversified themselves. So they may not care that much.