That is what the red connector is for in your picture... it connects the RNS-E to the 20-pin radio plug... and that 20-pin radio plug contains the wires that run to the back for your CD changer or phatbox.
It looks like you are just missing the connector "B" in the Quad-lock. You can simply buy the connector "B" housing and wire pins from audi and plug them in yourself.
Also included in the connector "B" are the BOSE pin and K-line connections. I'm not sure how this is supposed to work without the K-line connection for diagnostics.
Also, if your '02 S4 is a B5 chassis, you will need to connect the V-signal wire that is also part of connector "B". If it is a B6 S4, this connection is not required.
You can see a chart of which pins to connect where by downloading the install guide from my website (just click my sig).
Alternatively, you can return your PNP harness and swap it for one that includes the CDC wiring.
It looks like you are just missing the connector "B" in the Quad-lock. You can simply buy the connector "B" housing and wire pins from audi and plug them in yourself.
Also included in the connector "B" are the BOSE pin and K-line connections. I'm not sure how this is supposed to work without the K-line connection for diagnostics.
Also, if your '02 S4 is a B5 chassis, you will need to connect the V-signal wire that is also part of connector "B". If it is a B6 S4, this connection is not required.
You can see a chart of which pins to connect where by downloading the install guide from my website (just click my sig).
Alternatively, you can return your PNP harness and swap it for one that includes the CDC wiring.