I find the 1.4 -1.8 golfs are all like this but the GTIs are usually ok, but then depends what car you compare it to!
Air in the system can be a right pain to get out, the best way is to gravity bleed it and just let it drip. Try DOT5.1 fluid, in theory it doesnt absorb water and can make the brakes feel nicer. DONT use DOT5 though!