Interesting. Let me update you all on what I have learned.
1. The wheel bolts go thru the hub and into holes that exist in the rotor - meaning if I am to re-drill thru hub and rotor (more work than just drilling hub), I would have to do this again any time I replace the rotors.
2. There is a set screw holding the hub to the rotor. Machine shop would have to drill through that and then it may mean having more difficulty lining up hub with rotor holes when changing wheels.
3. VW Parts guy told me the way the stock hub attaches to the rotor is different from how the 5x100 hubs attach to their rotor counterparts so it is likely very difficult to find parts that would work to go that route to avoid re-drilling.
So basically my next step is to ascertain how soon my rotors will need replacing and whether I will have the option of just machining them at the time of replacing the pads. This will determine whether it would be a bad investment to drill them this year vs waiting until the next time I replace the rotors.