I agree with the theory that gas mileage is supposed to be better with the skid plate/splash shield on. It's supposed to reduce air drag under the vehicle. I think VW miscalculated the air flow through this engine bay.
3 months ago the dealer worked on my W8 and left some of the fasteners out. It was cracked anyway, so I took it off and went to the dealer to confront them on the missing fasteners. They agreed to replace all my fasteners if I bought a new shield. I ordered the shield and never went back to pick it up because my gas mileage went up 1-2 miles per gallon with it off. I'm guessing that there is not a large enough area around/behind the engine to let the air escape. This causes the opening of the grill to work as a parachute. Removing the splash pan helps air move through the grill and out of the engine bay.
Evidence that my theory is correct is the rubber/foam seals sealing the front bumper skin/air dam to the front sub frame and the rubber seal that seals the hood to the top of the engine bay. Since I've owned this car I've had trouble with these seals coming loose, tearing, and/or squirting out from their designed location. I've had to use 3M adhesive to hold them in place. Every time I do a high speed blast of 120+mph the seals have to be put back in place. With the removal of the splash shield, I have not had to reinstall or glue any of the engine compartment seals back in place. Hence, my gas mileage improved due to less air resistence.
That aluminum pan that was advertised on this thread was less expensive than a new fiber/plastic one from the dealer.