three options id say you could do.
1-The rear bar wil reduce understeer, but you will have lose the neutral balance you have on the car. I for one prefer a more oversteer bias on the car, but others may not.
2-By doing the front and rear bar in combo with the WALK, the car will retain its neutral balance, overall roll wil be reduced, and understeer still reduced further. his is what i had on my car and it was very confidence inspiring on track. (i did consider getting an even stiffer rear bar though)
3-Another option would be to provide the front wheels with more grip. you could do this by fitting the front lower control arms from the mk2 Audi TT. It is lighter(an unsprung mass) herefore positve handling effects from the weight loss alone, but it is also adjustable for an extra half degree negative camber. so you wil be able to run -1.5o camber, which will give you that increase in front end grip, whilst keeping a sensible level of camber to ensure tyre wear is not stupid.
If i was to buy another mk5 platform VAg which i undoubtably will in time(prob S3 or cupra) ill be doing option 2 and 3 before anything else, and then i would probably mate it to some lowering springs with good dampers as you already have. Then i would do the diff, and only then if i wasn't happy would I consider coilovers again.