I've also been a 'tad' disappointed with the fuel consumption of my 7.5 GTi PP dsg (5 dr - sure it must make a difference), that has now done 2.5K miles.
Was expecting (hoping) for mid to high 30's with a few low 40's trips if I took it easy, but in reality I'm averaging 32.5 mpg (car readout, not calculation), though managed nearly 37 mpg during a reasonably spirited drive home from north Wales today (indicated 80 mph or so, plus a few bursts of acceleration to clear slow moving traffic / kn*bheads.)
Previous Polo Blue GT would easily see (indicated) 47 - 50 mpg on moderately spirited drives and A6 Allroad managed 39.5 mpg on same journey as today (it also has 245 hp & dsg, but has V6 diesel).
Having said all that, the Gti PP is fulfilling my needs exactly as a comfortable (DCC fitted), swift and smooth everyday car, so I'm not too bothered about mpg.