Well I went into the dealership this morning. Saw the service manager and the brand manager. Both were shocked and horrified that these had been left in (yes, they should definitely be removed). There are apparently 3 pieces fitted each side at the front which can be choice of blue or pink depending on the suspension set up (i.e. GTI/ GTD and whether it has DCC or not).
The service manager, went into the workshops and I noticed through the glass windows, her gather all the techs together, and wave the blocks I had handed her furiously at them all, and I could hear her shouting at them all (old and young)

They then immediately took my car into the workshops, and allowed me to witness as their most senior tech lifted the car up on a hoist and examined all 4 corners. On mine at least, only the single pink ones had been missed, and it was explained that these would have been right at the top near the upper mounts, and had obviously just been missed. He then shone a light into the upper part of the shock mount and there was no marking or damage to both the piston or the rubber bump stop at the top of the mount, so my car was given a full bill of health.
Back in the showroom, both the service manager and the brand manager to be fair to them, took full responsibility and admitted it was totally unacceptable and gave me their unreserved apologies. It will be noted down in my records, just in case something develops over the coming months (which is apparently quite unlikely).
They did admit, that these new transportation blocks were not the best design and it was quite easy to miss one (not they said, that that was an excuse). Main result is that there is now a big poster (A1 sized) in the PDI bay warning to check and remove ALL transportation blocks, so hopefully at least someone else doesn't experience the same problem.
To be honest, I'm not going to push this further as to be fair it was just human error and the dealer has been brilliant so far (shame we can't say the same for VW UK), and at the end of the day, no harm done.
Would certainly check yours though.