I had a 2006 Polo GTI which I added an Edition 30 steering wheel to (black with red stitching), and also a 2005 Golf GTI which had a grey steering wheel. The 2005 GTI had a better spec than later cars (blue tints, quality fog lights etc) so I suspect that VW changed the steering wheel to black as either part of a cost cutting exercise or just a model rationale as more models were introduced into VWs range that used the GTI wheel (Eos, R32 etc) around 2006 so they just fitted black steering wheels to all of them to save on production costs.
FWIW I thought the quality of the grey leather wheel was much nicer than the black one. The grey one had a slightly cushioned feel to it and the leather seemed a bit thicker and had a better finish. I've also had 2 mk6 GTIs now and I still think the original grey 2005 GTI steering wheel was the best made of the bunch.