to answer the original question, there is no problem in replacing the lave cylinder with the gearbox in place, therefore no point in replacing the slave cylinder unless it is leaking, or will not bleed correctly. They are plastic and on some the bleed nut is also plastic, and they are known to snap off rather than undo when trying to bleed the clutch. This then means a replacement slave cylinder.
A VERY common issue is wear / scoring on the 'Top Hat' that the release bearing slides on, this causes the release bearing to stick. I don't think I have ever done clutch on a VW/Audi an found the top hat to be in serviceable condition (they are about £10)
I recently bought an LUK clutch kit complete with the top hat and a release bearing X arm, all be it for a 1.4 petrol, for £73 delivered from Germany
1.4 TDI 2001 284,347 miles and still going strong
1.4 Petrol SE 2002 just 121,000