You won't notice a change in mpg between 95 - 99. There is a misconception that some pump fuels are more 'calorific' than others, but it's not true. Petrol is petrol. The only thing that varies is resistance to knock.
Ideally everyone should be using 98, as per the fuel flap. That is the test fuel VW mapped the engine to run on. To guarantee the minimum claimed power (197ps & 230ps) in all weathers, it's the fuel to use. 95 will work, but even the handbook states (paraphrased) "reduced power...." in particular, on very hot days and steep hills in tall gears.
The only fuels that do have different 'calorific' levels to petrol are diesel, ehtanol, nitromethane, and some race fuel blends.
In summary - use 98/99