Plot thickens, so I popped it into a local garage for a scan.
£48 later they say it's 1 of two things.
1. The CAT Converter has broke down inside and the noise is the parts inside it.
2. A blade from the turbo as broken and got stuck inside
I don't believe either, but they quotes £1100 + VAT Minimum if it was the turbo (as they said it needs manifold as well??)
So in a rage I called the place I bought it, they told me to relax and use the warranty as I should, they recommend a German Car Specialist in Leigh (a bit of distance from Warrington where I bought it from) and they are really good with warranty's and will sort it.
So dropped it off with them this morning, and waiting to hear back.
After reading the warranty, my fear is that I'm liable for any "discovery costs" so if they strip the cat out, and it's not that, I have to pay for that stripping costs.
On the plus side the other garage did a full VCDS and it came back clear on everything!
Even not ragging it, the MPG is around 21, I expected more to be honest. So maybe it is a turbo problem, power doesn't seem as fast as I thought from a 200bhp car (coming from my 130/165 chipped GT TDI Mk4)
Guess I'll have to wait and see!