I have ContiSport 2s,
Ahh, there is the answer to your probs. As you mention below regarding autoroutes, the Conti SportContact2s were optimised for superfast, rock steady cruising along German Autobahns and the like. As a downside, they are well known for their lack of low speed ride and comfort!
second set on the front as the first set lasted 28K with 3mm left.

Strewth - 28K - miles I presume, or kilometres??? Without rotation???
You don't exactly "lean" on your tyres do you??? I'll be lucky if I will get 8k mi from the fronts on the GTI, but I am
trying to wear them, as I hate them (Dunlop SportMaxx)!

You may well be right that different tyres will improve things, but a new set would cost the same as the new dampers really (around £500).
Yes, but tyres are a consumable item anyway! Dampers are not. If £500 is too much, then just replace an axle set of different tyres, and see how you get on.
The standard dampers don't deal with the secondary modes that you get from rough surfaces, which Koni FSD claim to.
Huh . . . that "secondary modes" sounds like some simplistic marketing waffle! I am very conversant with detailed damper operation; including compression, rebound (both high and low speed), heat degredation, remote resevoirs, gas charging, adaptive, cross linking, etc, etc.
I personally never find the slow speed comfort poor on my GTI (which has the 18"s), or any of the numerous demonstrators which had either 17"s or 18"s. OK, the ride isn't limo smooth, but then that is not what the GTI is about!
I'm also a good bit older than many GTI drivers and probably less tolerant! Everyone who's been in the car has noticed how bad it is though, including people under 20...
I'm no spring chicken either, and have a medical injury, which places specific demands on cars I buy and use! I can honestly say that my wifes previous Mk4 Astra had worse slow speed handling, and my fathers C-Max (and his two previous A classes) is utterly, utterly, agonisingly awful around town!
What I would say is that on the super-smooth tarmac on French autoroutes the car is fine!
Mentioned above.

At the end of the day, if you choose to replace your dampers with the Koni ones, that will be classed as a modification, and you will have to notify your insurance. Some insurers actually refuse to cover modified cars, others will load your premium.
If you choose a different make of tyre, keeping the same size and load/speed index, then it is not a modification, and therefore will have no effect on insurance!
Some of my recommendations for "comfier" tyres (dependent on availability of OEM sizes, and your "estimated" useage from getting 28k from fronts!) would be any Michelin, but paricularly the Michelin Primacy HP
http://www.michelin.co.uk/uk/front/affich.jsp?codeRubrique=20060301144632, or the Michelin Pilot Exalto PE2
http://www.michelin.co.uk/uk/front/affich.jsp?codeRubrique=20060301144538. The Michelin Pilot Sport PS2
http://www.michelin.co.uk/uk/front/affich.jsp?codeRubrique=20060215151339 is the ultimate tyre for performance and handling, though I fear it may be slightly over-specced for your personal needs!

Of other makes, Conti PremiumContact2
http://www.contipremiumcontact2.co.uk/ may be better that the SportContact2, though it too is more focussed for high speed handling, rather than low speed comfort. I would avoid Bridgestone at all costs, there are pleanty of reports at how useless they are in the wet! Avon ZV3
http://www.avon-tyres.co.uk/?page=tyres&method=detail1&tid=3 may be a possibility, but I have no personal experience of these. Fulda,
http://fulda.tiremanager.com/main.asp?&dum=732656173160220071209241 another German manufacturer might have an offering, and are well regarded, but again, I have no personal experience. Yokohama are quite a comfortable tyre, but you'd probably attract all the baseball-cap wearing chavs every time you park up!

I hope i've given you some other options to chew over, any more Qs, then ask away!
Rgds