The DSG is essentially a manual gearbox, with electrictronics doing all the work for you. Don't let anyone tell you otherwise (A LOT of people still hark on about kick-down cables and band adjustments with them!).

When you pull up, it engages the clutches like you would with a manual car. Any reason to select neutral offers marginal gains, but is a bit compromise on safety, should you have to make way for an out-of-control motorist, an emergency vehicle on its way to a job, and the like.