DV = diverter valve
The stock DV is prone to tearing with increased boost amounts, though some guys have had their DV's fail under the stock VW tune.
The PCV has a couple of check valves in it, depending on which version you have. One of the check valve controls boost, the other one is the blow by or whatever. If the one check valve fails, you may or may not see oil by the oil fill cap or some type of moisture there. With the other check valve, you will see decreased boost levels through the whole rpm range. Usually a couple psi.
Downpipe/exhaust isn't really a "little" motor thing. When you get a DP, that's when you have to upgrade from Stg 1 (assuming you're Stg 1), to Stg 2. Stg 2 offers more boost and different timing and fueling needs than Stg 1, since the exhaust is more free flowing. However, buying just the catback, you can run Stg 1 only.
I have an ATP 3" catless DP that I had on the stock VW tune for at least 7000 miles with no issues, and I've recently just gone to APR Stg 2. I also am able to run the stock catback with this DP and support the Stg 2. The DP is where most of the exhaust restrictions are.
Whatever you do, don't get Stg 2 before a turbo back exhaust (TBE) or DP. You'll probably be fine to be on Stg 1 with a TBE or DP, but not Stg 2 with stock DP and exhaust.
Intake may help some, especially with Stg 1 and Stg 2, but it's more of a noise maker than anything. Pulleys are controversial. Some guys say they're not harmonic balanced like the factory pulley, but I honestly can't say since I haven't owned one.