Two main issues for the cooling system. The first is sufficiently cooling the water in the radiator, and the second is using that cooled water to cool the engine.
I've tried with and without return from end of head. No noticable difference with 1.8 head, but blocking that return caused #4 to run hot (inferred from knock-sensor ignition monitor) on 1.5/1.6/1.7 head.
Stock oil to water cooler probably helps overall engine cooling, slightly. A better solution is a real oil cooler.
For good cooling, consider cleanliness of all passages (block, head, radiator, etc.), efficiency of water pump (plastic impeller often spins on shaft when hot, tin impeller usually okay, cast iron impeller best by far -- use magnet to be sure since some plastic impellers really look like cast), correct type of thermostat (must block bypass when open unless you've plugged the bypass, and most of us use 80C).
I tried saving HP by spinning the water pump slower (pulley size), but found that the car wasn't cooling well enough. This was on a Scirocco 2 (small grille). Others have had different results with different models.
For even better cooling, consider thicker radiator (from Rabbit w/ AC), wider radiator (from Golf w/ AC) or even copper rad if you don't mind the extra weight (from some diesels).
Also consider sufficient grille area and proper shrouding (sometimes the stock plastic or cardboard is missing so air flows around rad, or just gets moved so air flow is partially blocked).