I've no experience on catastrophic turbo failure, but within a week of buying my R, i'd made a decision to do a 1500 mile "run-in" oil change and went to the local dealership to get an oil filter after getting a great deal on some Castrol Edge oil of the right type.
Having a chat with the lad at the parts desk, he informs me that he's aware of 5 Rs that have come through the Scotswood Road branch of Benfield requiring a new engine after turbo failure and one of those only lasted a week.
Seems then that a catastrophic turbo failure will be quite likely to spray the insides of the engine with shrapnel and completely bugger it.
I did have a turbo go on a Polo 1.9TDI back in 2003 under warranty, but it was a case of starting the car and the turbo either worked or it didn't. Initially 1 start-up in 10 had the turbo doing nothing, then it became 1 in 4 a few weeks later when the turbo was replaced. I suspect my turbo was still in one piece at that point.