It's all about what you want. Let's be real: for virtually any driving need on the street, a box-stock Golf R is already overkill. Going either stage 1 or stage 2 only gratifies wants. Bumping up the power on an EA888 is certainly doable, especially on the somewhat beefed up version found in the R; but any time you start increasing the pressure inside of an ICE's combustion chambers, reliability potentially is lessened, as well as the likelihood of blow-by past the rings and ultimately depositing carbon on one's intake valves. Then there's the drive train. Manual R's start out with a clutch which won't stand up to much abuse. Add a tune and you have to go for a stronger clutch which requires more pressure against the pedal. How much stronger of a clutch depends on how much stronger of an engine it has to transmit the power from. And let's not forget that your Haldex unit wasn't designed to happily handle the nearly 40% added torque of a strong stage 2 tune--will it die any earlier because of this? That's very likely; the big question is will the decreased longevity be very slight or painfully pronounced. DSG? They're more robust, especially with a TCU tune that increases the clamping force of the clutch plates; but still, more power means potentially greater wear.
What I'm saying here is that both a stage 1 or a stage 2 tune will give your R serious added oomph--the stage 2 just gives you even more, especially on the top-end where the increased exhaust flow provides added benefits. Just does that extra added power offset the increase in potential reliability issues in your mind--it all depends on what you want, and perhaps how long you plan to keep your Golf R.
Me? My R is my wife's and my daily driver. I was making this very decision last month, as my warranty will soon lapse. I've decided to go the Stage 1 route, as the relaibility aspect is maybe more critical to me than for many others with multiple cars. Plus, with "just" going stage 1, I can forego (at least for the time being) the cost of an intercooler upgrade as well as the downpipe, and instead spend that money on some suspension upgrades.
PS: Downpipe = Stage 2, as Reallypeacedoff already said.