So for modified GTIs, it is advisable to have a service every 10,000 miles?
Correct. And if it is heavily modified, or if you drive it very hard, then do an additional interim oil & filter change every 5k miles.
Also what needs to be done at each service?
Look in your service book!
Would you recommend getting the car serviced at a stealership or a VW approved garage?
Hmmmmmm . . . . even though I'm an independent, for new cars still under warranty, I would still recommend getting
routine servicing done by an official franchised dealership. However, any work which is outside the scope of normal servicing, such as tyres, brakes etc can be done anywhere.