The best device for diagnostics is a Vag-Com using VCDS:
http://www.ross-tech.com/vag-com/ You buy the device and the software (and all future updates) is free. You can buy a used one from someone and you'll still get free software but won't be eligible for official support from Ross-Tech. Don't waste your time buying a knock off online--they're junk and end up being causing frustration for everyone (you, anyone you ask for help, the official vendor of the software, etc.).
If you're coming from a 17 Explorer, and this is your first TDI, my advice is to not worry too much about performance mods because you're already going to experience a noticeable kick in the butt. Comparing my 2012 non-fix to my 2015 post-fix, I'd say my 2015 drives as well or possibly even better. The downside to the fix is the beating the emissions components endure, which are all covered under warranty. Whatever minor losses of power or economy I experienced, real or imagined, disappeared after phase 2.
Ultimately, though, this is our family wagon and I'm not too worried about it doing anything other than getting from point a to b safely, reliably, and economically. I do play around with my 98 (ALH) bug, though, which can be bought for not much more than a song these days. I agree with IBW above regarding the EA288 (don't have anywhere near his professional experience, to be clear, but notice he did specify best "common rail") while I also consider the ALH the gold standard of diesel engines. Just pointing out if you want to play there are much more cost effective options in terms of bang for buck, imo.
In theory, one could obtain a stock ECM, tune it so it could be used in a different vehicle, and VW would be none the wiser. It wouldn't do much good, though, and cost a *lot* of money to do (cost is always relative, but I'm speculating you'd be looking at spending $2-2.5K for the ECM and tune, if it's even possible and a reputable tuner was willing to do it).
If you're that strongly motived to get a pre-tuned car, some do exist on the market.