I'd agree with nearly everything said so far....
I've just got a load of rotors from a race team and "in the box" were a load of drilled rotors that had small hairline cracks in them radiating between the drill holes. So before I approached the guy I bought them off I spoke to tech support at AP racing who basically said dont worry, off you go and have a nice weekends racing on them!!
I think common sense needs to prevail here, theres three different applications for your car regarding braking, theres:
1. Road Driving
2. Road Emphasised Driving with Trackday capability
3. Good Trackday Capability with compromised comfort on the road.
If you are in category 2 and 3 and have uprated calipers/discs/pads then by definition as far as VW are concerned you are off-piste.....Not a problem in itself, but I was having the conversation with a ED30 owning balloon flying aircraft engineer (myself being involved in aviation as well) and we agreed that however "mild" your braking mods are, you have just given yourself another maintenance inspection other than your regular servicing items such as fluids and tyres etc. Quite common to mod something on an airplane but along with the mod comes a modification to the serviceing requirements/maintenance manual incorporating inspections to that mod if you get my meaning
In essence fit full blown wafer thin ligtweight drilled race brakes if you like, just every 1000 miles or after every hooning sesh get the wheel off and have a bloody good look around them with a good torch. This is how small cracks are detected before they get to big ones.
Im still trying to find the set of brakes that perform well on the track, are quiet on the road and can go 10000 miles without getting looked at.
So IMHO fit drilled discs if that floats your boat, if you're regularly hooning fit grooved, if you like the aesthetic look of drilled and grooved go for it. Just every third tank of fuel show em you care and check your pads and discs over close up and remove any doubt and catch any issues early.
Theres also different qualitys of drilled discs, some of the worst ones are Audi RS performance stuff with drill holes going straight through the ribs between the vanes and then the next hole being drilled to fresh air so some differential cooling taking place defo, some porsche stuff is the same or sometimes cast and then you get the Porsche Carbon Stuff which is drilled perfectly all in the vanes and then you get AP racing carbon rotors that are neither drilled nor grooved!!!
With all the manufacturers doing grooved drilled or both its unlikely one is less safe than the other but as above as Animal said keep an eye on them