I have a feeling the OP has a manual.
I also think that trying to diagnose a sound over a forum is next to impossible. I know that we all want to know what's going on with our cars when they make a clunk or other sound, but sometimes these are hard to figure out.
That being said - I doubt the engine is hitting the firewall. I am not sure which way the engine torques when under power with our TDI's but I don't think it slamming back enough to hit the firewall (if the engine torques forwards under acceleration) and if the engine torques rearward when you let off it would move forward (it would also gradually move rearward under acceleration ad not just slam into firewall).
I have experienced a few clunks with my car in hard acceleration shifting between first and second gear. Hasn't happened much, and I chalked it up to wheel spin and the right tire (thought it was coming from right side) spun just for a split second on something. That's how it felt. I think one time I happened to shift hard on a steel plate, tried to hold of until after but it caught the last few inches of it - causing a wheel to spin freely just for a bit before getting slammed by the pavement - wasn't too nice to the CV joints and trans.
I like what JaredC01 said about the sound happening when engine is under stress and not just at a specific RPM. Once the engine is making all the torque it can it would make sense the sound would happen when shifting at 3500RPM - as long as you were requesting the same kind of power. The clunk happening when shifting quickly at 4500RPM suggests to me more of a wheel spin or slight wheel hop (so to speak) when grabbing second gear hard. All of a sudden a ton of torque is thrown at the wheels (once shifted to 2nd) and something has to give - at least it's the tire on the pavement.
Like the OP said, first gear is very short and the engine can wind through it pretty good. I really like 2nd and 3rd gears for hard acceleration. Gives a pretty good whoosh!
(I hope I explained my reasoning ok)