For the last year, I have been clearing a fault code stating control module not coded correctly. Coding is 06021. Is there something I'm missing or does anybody have a similar experience?

Nothing to worry about.

but will this fault code show up on every US rs4 with the euro steering wheel, even if it's coded correctly?

...the Radio/Navigation System (RNS-E) control module (56). Select an option, relevant to your setup (CD Changer and/or TV Tuner, where the MFSW is "not installed".

You should be set.

...doesn't do this? Post all related devices' codings (Steering wheel, RNS-E, Bluetooth, etc.)

but could you post a all the modules and codes that you have in place. Also could you run fault code check on the steering wheel module prior to this?

steering column that the Euro cars do not.