They were fitted as a recall on all Golfs due to the original matrix bursting under pressure and scalding the passenger's legs. I don't know how many reports there were of this, though I've seen one post on here where it's happened, so take your chances.
If the matrix has been replaced by a stronger MK3 spec one, then the bypass valves are no longer needed - it is probably best to remove them in this case as they cause problems of their own..
Interestingly I also had a very late 8v GTI, and this had no bypass valve, nor were there any signs that one had ever been fitted. I wonder if it missed the recall, or whether it already had the higher spec matrix fitted from the factory?