Number one concern would be the extra torque killing your transmission. When I had my ECU remapped it boosted power and torque to sd levels so I was not worried too much about the transmission (same box).
Second concern, I do not read Danish so not sure what these things are doing but probably attaching to the common rail fuel pressure sensor like many other tuning boxes. The better tuning boxes also interface to the turbo. None however work as well as an ECU remap. I have done both (spider tuning box and currently with super chip remap) and the remap is far far better. Tuning boxes are good for in warranty periods - they can be removed before service in the belief that the modification is not detectable (do not believe it though) - but I do not imagine you are still under warranty.
Lastly the tuning box will add more fuel that the ECU knows about. The effect of this is that the ECU is not adding as much fuel as normal and the engine management reports improved fuel consumption while in fact you ARE using the same or even more fuel. e.g. my trip computer reported 6.5ltr/100km with the tuning box and 7.0 without. ie do not believe your trip computer if you go this route (or if you do do not rely on distance to empty ;-)
Lastly . .why? You have an sd. Mine 3.0d is insane to drive with similar power and torque as the stock sd and you want more???? yikes . . .
VW Touareg V6 TDI 4Motion with a smooth as AISIN 8 speed auto gearbox that WORKS!
X3 3.0d 2006 (MY07) sold