The function you're talking about is called Anti-Hijacking, which, as you said, locks the doors above 5mph.
This, as well as other central locking functions, can be pre-programmed via the VAGCOM port. Anyone with a cable, the VAGCOM software and laptop can sort this for you, alternatively, run it into a dealership, and they will do it.
They can also adjust the function that only unlocks the drivers door on one click and change it to all doors (not sure if that bothers you at all, but for me it was the most frustrating thing about my GTi)
Not sure the standard alarm control unit is capable of window roll-ups - I ended up buying an additional module and wiring it in myself (takes about an hour, costs approx ?50).