I second what Doug said regarding leaving in the factory fill. I am at 4900 miles on my 08 GTI and oil consumption has been zero except for one track day in which it burnt 8 oz. on that day. Also look at Rl_RS4 (I think that is right) posts regarding break-in. I researched the heck out of it and from the little info that is out there, it appeared to me that changing it out early (such as before 3500) posed potential problems such as oil burning while almost no one reported problems from leaving it in for the recommended interval.
Regarding oil, there are not that many UOAs posted for pentosynth, lubromoly, and elf. I was not impressed with the few pentosynth UOAs I have seen but there are so few it is just a random snapshot. Some other oils to consider in addition to those you identified are:
502 approved: M10W40 (too thin for my taste but many have had good luck with it)
Possibly 502 approved (some say it is, same say it isn't): M1 TDT 5W40, GC 0W30
Not 502 approved: Amsoil 5W40, Biosyn/renewable lubricants (hunt for Rl_RS4 posts on this), Redline 5W40
Many say run a high HTHS oil in this engine due to the fuel dilution (search for TeeDub's posts as he had some good info on this as I recall) and I subscribe to that philosophy until I see enough evidence to convince me otherwise. 502 calls for a 3.5 cP HTHS oil but some of these non approved ones have as much as 4.6 and have higher amounts of Zinc, P, etc. and some are group V.
Is your engine the FSI or the TSI?