Owned both (mk5s, DSG, done 10k plus miles in each, during both summer and winter)
R32 has far more traction, none of the silly wheel spinning from every set of lights/ junctions.
Feel much more solid overall, more prestigious

Piles on speed much, MUCH quicker than a GTI over 80 MPH
When I owned one road tax was about £300 a year more
Fuel consumption 30 versus 24 (about £600 more a year in today’s money)
GTI handles better and on most roads (in dry conditions) would be much more fun and faster.
In a R32 the first turn in on a fast corner can cause a bit of understeer however on slow corners a bit of welly can give you some overseer fun!
Very different cars, r32 mk5 last of the v6 golfs - I would swap my GTI for a R32 (like for like)