Thats impressive. i just went on the approved VW site and didn't see much this side of £10k
Not all used cars are sold under the approved label. Only the very smartest with full VW service history seem to fall under the top approved category from memory of my searches and viewings.
You should be able to get a GTI for your budget. Just make sure it has service history.
I wanted a 5 door (new baby, was coming from 2 seater rag top) which were going for more than 3 doors when I was buying last summer. I bought an 06 with 34000 with full leather, 18 alloys, FSH, cambelt done etc and the essential (to me) arm rest for £9.5k from a non VW dealer with warranty. The under 40,000 probably pushed that price up a bit. Mid 40,000 milers are cheaper and there more to choose from.
Do check your insurance. I live in inner London with secure gated underground parking and it costs more to insure the GTI than the 192 BHP 2.5L 6 cylinder soft top Z4 I sold (could just be the sad yearly jumps in insurance).
Parts are much cheaper than the BMWs or Mercs you have owned before