Because the engine and parts are not built to run that way. Did you just get a new boost gauge or something? Are you tuned?
I have a MKV TSI and I'm tuned APR stage II. There's no way I get near 20 psi at full boost.
I always get 17-18 peak then drops to stable 14-15 up to approx 4000 RPM...
Now concerning your problem, there's probably something you would need to add to your setup to help stabilize the boost.
Do you have an exhaust (cat back...turbo back)...? DV functions properly...? Proper fuel rate...?