Still new to Golf V ownership so cant really say with this car, but I always tried to fill before it got so the warnings came on. I had 5 miles showing on my range indicator the other day, so filled up putting 38 litres in which got me wondering what size the tank is, was amazed to read it has a 55 litre tank, so the 5 miles was a bit off.
Anyway, as far as doing damage, I dont think its really possible, as you say, the fuel is taken from the bottom of the tank, plus it goes through filters on its way to the engine anyway. Will probably get told I am wrong in my opinion later though.