The thing about voiding your warranty is most likely just the dealer trying to scare you as was already said.

Now as far as requiring the radio for diagnoistics, that is also not true. The radio isn't required at all for any fault codes. Now, the VW radio can return diagnostic data associated with the radio, but it's only related to the radio... if you don't have the radio, there's obviously no need for that. The only thing you have to be concerned about is when you plug in the aftermarket stareo is that you leave the one pin that the vw radio was using for diagnostics unconnected. They call this the K-line, and the problem that sometimes comes up is that people connect these to their new radios to a spot that usually provides a constant 12 volts, which interferes with the rest of the diagnostic system. But as long as you don't connect that wire, you are good to go.