VW do actually recommend super unleaded for the GTI, however it will run on 95 hence why it has that on the cap. I was sceptical but decided to change based on VW advice. I haven't noticed any improvement in economy and a marginal difference in running however for £2.50 extra a tank I don't think it's worth worrying about. I use Momentum 99.
Most of Europe calls RON95 "Super", as denoted by the multitude of languages telling you to fill your GTI with "Super" RON 95 on the filler flap. The R filler flap sticker tells you to use 97/98.
If you haven't seen any improvement in economy swapping to RON99 then it's not set up for it and you're effectively compressing your RON99 to less than optimum before the spark plug ignites it. If set up for RON98, it would be thirstier using RON95.
Plenty of people think RON99 is more calorific than RON95 - it isn't, it just has combustible additives that make the mix less volatile and so can be compressed further without pinking. You're just chucking £2.50 a tank away.
Most of the performance engines around the MK5 era were optimised for RON98, the MK7 GTI engine isn't.