VCDS is invaluable for troubleshooting stuff that doesn't throw a CEL/fault code. You can data log up to 12 sensors and review the data when you get home.
Things to look for are the actual and requested values meeting their targets. On a turbo engine with variable cams, all manner of fuel controls, electronic boost control and god knows what else, you simply cannot guess as to what it might be. You need to review hard data.
There are a few common things you can check physically though. PCV, boost pipe O rings, diverter valve, spark plug condition etc and also MPG. MPG usually plummets when there's a significant problem. If that hasn't changed, then investing in VCDS is probably wise. It's a wise purchase on any VAG car to be fair.
Not much does actually throw a CEL. Usually just a bad cat and dead O2 as they are required for emissions compliance, so MUST throw a CEL by law. Things running sub-optimally don't generally put the engine light on. As for fault codes, the problem has to be repetitive in order to store a code. If the ECU gets over itself within a preset time frame, it won't code.
One thing that is VERY commonly over looked is dragging brakes, especially the rears. That often explains sluggish performance, but you'll also get a small hit in mpg.
