I use a specialty German shop that deals in nothing bu VW, Audi, BMW, etc. They do all of my oil changes, they did my APR tune and intake install, and I had them do my DSG service at 43K as well. If I remember correctly I paid just over 200 bucks for the DSG service. I'd find a shop like this if you aren't going to use a VW dealer. When you are doing the DSG service they are supposed to hook up VAG COM and get the temp of the trans to a specific range to make sure the levels are correct, etc. I watched them go through this process because they know their stuff where I go. I cringe at the thought of a place doing a DSG service without the proper tools or know how.
As far as the rest of the "40K Service" most of the stuff they recommend doing can be done in your driveway.
EDIT: A buddy of mine recommended
http://www.ajmotorworks.com/index.html They are in Tampa I believe. (But if that's the place you already called who gave you the advice about the filter ignore this suggestion...)
There is a special on their website of $50 off any repair or service over $150.