Well first the turbo. No turbo will last forever, and lifespan is a combination of build tolerances (some just come out of the factory better than others), wear from use, and wear from damage.
Letting foreign objects such as dust particles or water or oil hit the turbo while it's spinning wear down the blades a tiny, tiny amount. Too small to see or feel. This causes the turbo to wobble a little but turbos come out of the factory like that too. The difference is how much wobble it has, but the layer of oil that the bearings are floating on absorbs most of this energy. IMO, the overall effect is so small that it makes no real difference in lifespan.
What really kills a turbo is overheating, poor oil and lubication, and large foreign objects hitting it. These will cause enough wobble that it can't be absorbed by the layer of oil that the bearings are floating on and will cause excess wear or bearing damage. Overheating will damage the metal, and excess carbon buildup can also clog the turbo. That's why it's good to rev the engine hard every once in a while once the engine is fully warmed up. This heat cycles the turbo which burns and blows out carbon buildup.
Engines last a long time but again, differences in build quality, lubrication, cold starts, and buildup all affect engine life.
Now modding. These reduce engine and turbo life BUT to such a small degree that I doubt it is noticeable within the normal lifespan of the engine. The turbo is a bit more sensitive to higher pressures but the engine will be fine as long as you stay within reasonable limits. For example, running excess boost will stress the turbo, running excess boost can stress the head gasket, etc. Enough people have modded their cars so that chips or nozzles or larger turbos within reasonable limits, won't cause excess wear.
So maybe instead of getting 500,000 miles you might get 450,000 miles out of the engine. Also remember that if you use the additional power 80% of the time and track the car often, it's subjected to much higher wear than if you use the car for daily driving and use the additional power 5% of the time, which is what almost all people do with street driven cars, then this also makes the wear differences negligible.
Lots of people do. They take samples and send them out for testing to see engine wear. However, since it costs money, most people don't and most of the time, there is nothing unusual to see. It is cheaper to just change it at 10,000 miles if it's synthetic oil rated for diesels and which is approved by VW. Be careful because some oil makers say that their oil is acceptable to use in VWs and for all we know, it can work, but VW doesn't approve it and if you have a warranty issue this can cause problems.
IMO, as long as you don't get too extreme, mods don't affect engine life. Like ChittyBang said, unless you are going nuts, I don't think you will notice any difference.
Anywhere from 10,000 miles to 60,000 miles in long haul trucks. With those long haul trucks in commercial operation it's much more economical to use oil analysis. It's even common for gas cars to see recommended 15,000-20,000 mile oil changes.
I think in order for a turbo to last, you need to do a couple of thing, drive your car like you stole it, and use the recommended oil.
The turbos in big rigs last a long time, the reson being is that drivers are forced to rev up their engines because they have a 40 to 45,000 lbs. in their trailers they have to shift at a higher RPM,, you barely see a turbo going bad in a big rig, unless it is old or it has been abused.
This should apply the same to the TDI about the turbos, but if you baby the car all the time for the fuel economy , your turbo will suffer down the line with all the soot that accumulates, but remember in order to keep a happy and a good turbo, just need to go out on the street, once or twice a week and pretend you are doing an Italian tune up, and that is when I get smile in my face when I do that.
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