Tough one to get the tax/depreciation balance. To avoid depreciation, best of go a few years older, but then anything older with 250+bhp would be hard get for less than €800 tax.
A mk2 Leon Cupra are 240bhp stock and easy to get to 250+bhp with just a map. They come stock with a bigger turbo and brakes than a mk5 Gti and and a little different. Plus would pick up one for small enough money, so in two years would not lose much.
If going newer a 280/290 Cupra is a very capable car, saw a review where it was faster than a Golf R on a track. They said it handled better too, but day to day the Golf R would be a nicer daily. But I imagine it would be comfortable enough and practical enough too. Any of the VW MQB chassis options seem to be highly regarded so reckon the current gen Cupra won't depreciate too badly, but anything new will depreciate reasonably heavily. Another option, but not sure of tax, would be a Megane RS of some form?