Anyone buying a Golf for exclusivity is going to be disappointed, it's a VW, not a hand built supercar. Unless the Clubsport or R400/420 come with a small and fixed number of examples hitting these shores, you will always need to be looking outside VAG and spending a lot more money for the privilege.
Give it a year for the R to catch up with the 1 year headstart the GTI had and the GTI will arguably be the more exclusive car (although still not very exclusive) because many people believe that the R is worth paying that little bit more for. There weren't many 6Rs made, but I believe that was due to a lack of demand rather than VW's intentions to make it exclusive. The 6R was only a smidge more powerful than the R32 and the gap between GTI and R wasn't as pronounced as it is now. With the introduction of the MK6, the Golf became a very expensive proposition (20% more than the outgoing MK5).
Whether you get a GTD, GTI or R, you're not exactly slumming it - but now the GTI is just sitting in the middle, not the most frugal nor the most powerful, most people will be buying a performance Golf for one or the other of those things.
For 95% of your time behind the wheel, it will not matter whether it is either of those 3, but for that other 5% of the time when you're mashing the accelerator, you will either be looking for great acceleration at the expense of mpg or decent in gear acceleration without the fuel penalty, and the GTI isn't quite as good at either as the other 2.
If you're looking for exclusivity then the R400 might be the way to go - there will be people for whom the car is beyond their means, and others who will scoff at paying that much for a Golf. I can't see many R owners chopping in theirs for an R400 for one of the reasons above, unless the GFVs are such that it becomes not much on a monthly basis.
Given that the current GFVs are around 48% for a GTI, and 50% for GTD/R, you'd have to see GFVs of around 60% RRP for the R400 to only be £40 per month more over 36 months on a PCP if it were £8k more, assuming similar discounts can be achieved on the R400 as can be found on the R. Will that be the case? If the numbers are low and the demand high, I doubt you'll get a 12% discount on an R400.