I'd put the stock air box & filter back on, and take it to the dealer. Presumably your Eos is still under warranty, so be sure to act innocent when you talk to the service manager. K&N products are well-established and shouldn't affect your warranty or anything, but why give the dealer any excuses, right?
If you don't feel like putting the car back to stock and heading to the dealer, you could still get the code read to see what caused the CEL to fire off. In the States most auto parts stores will loan you an OBDII reader for free (hopefully they do the same in the UK), and that should give you an idea of what's amiss if it's engine related. Or find someone local with VCDS to check out your car. I've heard MAFs are finicky to changes in the intake plumbing, so that's one possibility.
Your friend's correct that the 2.0 TSI doesn't have a blow-off valve. Instead it has a diverter valve, which basically does the same thing. When you let off the gas, the charge on the high pressure side of the turbo gets diverted back to the low pressure side. This has the advantage of reducing turbo lag when you get back on the gas. A blow-off valve just vents to atmosphere. Some folks put spacers on their diverter valves to get the BOV "woosh" sound, which seems silly to me.
I also want to figure out with the second kit. 
