The OEM GTI/Ed30 setup does include a brake wear indicator sensor. It's essentially a wire that's embedded in the pads; when the wear is sufficiently high, the wire is worn through and goes open-circuit, thus activating the wear indicator.
I was actually wondering if the Brembo setup has them, but even if it doesn't... that's what your right foot is for
When I worked at Porsche one of the senior chaps there said to me that you shouldn't really be letting the pads wear down to that point (and there really isn't anything left by then).