There's lots of discussion about this type of thing in the MKV Golf and the MKIV Polo forums. The general concensus is that there is little to no difference in performance. Some people feel that it "smoothes out the torque delivery a bit", especially in the Polo GTI, but it certainly doesn't help with increasing top end performance. Generally the main limiting factor is the pipe to the airbox and the airbox itself.
Even for people who do have the ECU flashes done, there is still large doubts about the filter making any difference whilst retaining all the rest of the intake system.
K&N isn't the only brand. There is also VWR (Volkswagen Racing) and also BMC, which generally sees the most use/popularity in aftermarket VW filters from what I've seen on these forums. I have a BMC filter in the Polo GTI. My mechanically minded friend who has a heavily worked Skyline (don't hold that against him, he now wishes he had many things but, but hasn't the money to change it) believes that the exhaust note is slightly deeper... but again, really hard to tell.
So my advice would be to save your money and use it to get an ECU flash first. Then if you want to help the intake side of the engine, replace the ENTIRE intake with one of the full CAI replacement products (APR/Carbonio, Forge, Gruppe M, and probably others).
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