It may be a case of the clutch still needing to be broke in and/or "bedded", but if it continues doing it after 500 to 1000 miles, I'd take it back to the dealership to have it looked over. You should not be causing any issues with the engine or the car, but that also depends on the level of vibration that you are feeling. If you have a friend who is very used to a VW stick (of about the same year), you might have them drive it and see what they think. A small amount of shudder is not necessarily a bad thing, but a lot is not good (all subjective). For your edification, bedding (which I referred to above) is the process of breaking in the clutch (can also apply to brakes), where it has to go through several hundred miles worth of heating/cooling cycles to totally cure the friction material which is used. If you are too hard on it, it can wear out prematurely. All-in-all, just take it as easy as you can on the clutch with most of this period being city driving (if possible). If you continue to have the issue even after the time given, the dealership has the obligation to do fix the issue. This is called the "adjustment period", which they may have told you about when you purchased the vehicle. (Dealerships I worked at usually gave a 12 month adjustment period). If it gives you problems after this point, it should be covered under the powertrain warranty.
