Don't change the oil, and follow VWs advice for break-in (vary the throttle).
The following is from the Cummins TDR site (not quite for the TDI, but will give you an idea):
<BLOCKQUOTE><font size="1" face="Verdana, Helvetica, sans-serif">quote:</font><HR>from
TDR Article Rings and Break-In
A special problem of our era is the failed break-in. This can be the result of "babying" during break-in -- steady driving at very low speed and load.
This can be made worse by high-tech anti-wear additives in modern oils. Such additives form solid metallic soap films on engine friction surfaces. These films have much lower friction than metal on metal, and can withstand several passes at high pressures like 90,000 psi before they are gouged away. The films are sacrificial - they yield at much lower force than does the underlying part - and they re-form as long as there is additive remaining in the oil. They can affect break-in by being able to carry the local load before the piston rings have worn into full contact with the cylinders. The ring, in effect, develops polished areas and then the break-in stops. For this reason, some engines are supplied with special break-in oil already in place, to be changed after a specified period. [Editor's note, Cummins engines are shipped from the factory with an initial fill of Cummins Premium Blue mineral based motor oil.] Such oil contains less anti-wear protection, so that break-in can occur more easily.
If the rings fail to break in completely, the engine will never develop its rated power because of compression leakage, and it may use oil at an excessive rate. This is why manufacturers now advise that engines be broken-in with fairly heavy throttle, alternating with coasting.<HR></BLOCKQUOTE>
Anyway the filter is more than adequate to catch anything that is large enough to harm the engine if it can be picked up by the oil pump,
Plus you risk getting an oil that may prevent proper break-in if you change it too quick.
[ September 06, 2001: Message edited by: Sun Baked GL ]