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Welcome to Audi Forums bpowa!
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Both the ecu and the filter are under the hood next to the firewall.
Yes, it sounds like a good deal.
Don't worry about the "slowness" - you will be able to mod the car a lot.
Scorpion is a low grade, but functional exhaust.
Don't mess with the airbag light issue. Take it to Audi and let them diagnose the problem.
On a personal note: Don't call your wheels "rims" on this forum - you'll get flamed by some members - or at least me! I can understand your use of the word in the Honda world, but here we call them wheels because that's what they are.
My first advice would be to invest in a VAG-com. With a VAG you can do a lot of your own diagnosing and monitoring of the car. It works on your laptop so you can take it with you and do real world (rolling) diagnoses. It can clear codes and even do some technical/electrical mods.
Hope these comments help. Let us know how things are progressing with the new car. And congratulations!!