Hi Hannes,
I have a 170HP 2.0TDI and I have chipped it to about 200, so it's a bit different than the 140 you drove.
For starters though, I would say a dealer loaner is typically a little off the mark in terms of care and performance. (At least that was the case with the TDI they loaned me in Taiwan.) Mine is also DSG, so the frequent shifts are totally a non-issue. And before I start, non of this is to argue or discredit anything you said!! All of us have a right to our opinions, and certainly respecting yours about the car!
I think the performance in 6th under 2000RPM is to be expected...that is a cruising gear and that is a big reason you can get some pretty amazing efficiency out of the TDI. See my other posts for my passion for the TDI's range...I've reached up to 900km on 52 or 53 litres of diesel. With the DSG, two quick clicks (automatically superfast, because when one clutch is in 6th gear, the 5th is ready to go, so it's a super fast downshift even down to 4th) and you have all the torque you need to do some serious highway overhauling. The power band on a diesel is actually very broad (it is pretty flat throughout the REV range...it's actually that the REV range is narrow...redlines at 4500rpm. That's another reason why the DSG is SOOOOOOOOOO good with a diesel. I agree with you though, I would not want a manual TDI if I had to drive in areas with heavy traffic. So, it doesn't offer the 3.2s up front sex appeal; a TDI is a beguiling lover and it takes some time to discover all her charms! I also agree with you on the understeer, I really didn't notice it with the TDI, with any 2.0 on the A3, there is a lot less weight up front and I think that makes the car nimbler than a 3.2, but obviously, that engine/car combo offers its pleasures too in different situations. To be sure, a diesel (well, let's leave the 6.0TDI out of this generalization) will be beaten off the line from a standing start. But, a diesel is super quick in real driving situations...say you want go hit it from 60 to 100km/h...in the right gear the torque will lay waste to most other cars in the same class.
The last point is...see if you can try a TDI that has the superchips flash. My car is chipped with Superchips, and I know it's a British Company, so you should be able to try one. After I chipped the car, it was like a totally brand new machine! WAY better performance, and WAY better fuel economy.
So, to sum it up from an oil-burners perspective...the TDI gives you efficiency, torque, tunability, quiet highway performance (mine cruises at 110km/h at 1400RPM using about 5.1litres per 100km.) I'm not sure what diesel costs in Britain, but here in Taiwan, it is cheaper than gas, er, petrol! So lower costs and 25-30% more efficiency and you have a no-brainer in my opinion. Maybe check out the new A4 TDI...the 3.0 is SUBLIME and would probably address the issues you felt with the 140 2.0.!! I read somewhere (I think Audi Driver) that Audi expects 80% of UK A4s to be diesel. That should say something about the drivability and economics on the TDI for your market!