The DSG isn't perfect, that said I've never found it labouring the engine in the higher gears but my GTi is remapped so maybe the extra power and torque means it never gets to that stage. What I do find is that when it kicks down it selects a gear one lower than I would if driving a normal manual. A common scenario is for me to be in 5th on the motorway, select 4th manually and floor it then the damned things drops it into 3rd itself (even with the DSG selector pushed over to manual lock). This may be faster but I hate hearing the engine screaming away like that unless I decided to do it and certainly not on a regular basis.
It means that I rarely give it full throttle sticking instead to progressive application. Perhaps that's a better driving style anyway?