You just can adjust rebound on Konis. These dampers are very similar to Bilsteins:
http://www.golfmkv.com/forums/showthread.php?t=174366
Sadly Sachs ended making them and these used ones are quite old. If find one who is able
to refurbish them or if you find some new - get them.
I understand 19" look great - I did have 19" on the GTI. But that's why I hate them now.
To me it's not worth the disadvantages on handling, acceleration and ride. They also tend
to bend on bad roads. Don't believe people who tell you there's no difference to 17"/18".
There's also anothe point: money. With 17" you can afford the lightest wheels (OZ Allegeritas
or similar) and the very best tires (like Michelin PSS, Yokohama AD08) + dedicated winter tires.
No doubt - on real roads you'll be quicker with 17" very most of the time and enjoy it more.