A few years ago I was up at MRC Tuning having my A4 V6 remapped and whilst I was there they showed me an engine they had out on the workbench which had been damaged beyond repair from a plug in tuning box - this particular box had somehow allowed the turbo to overspin, which ultimately caused a bit of the compressor wheel to break off and get ingested into the engine block itself. Expensive end of engine! I wouldn't want any form of ECU tuning in my car that didn't maintain all of the ECU's safety parameters and didn't just chase the maximum BHP gain figures by any means necessary...
It may well be the case that this particular piggyback tuning box is fine and I have no way of knowing how this particular model works, but there is all manner of trash sold on ebay claiming to give performance increases (the "electric supercharger" comes to mind!) and if it was my car I would protect myself by going with a product I knew more about, from a reputable tuner, from whom I had other good feedback about.
I've had remaps on my Audis from MTM (S2, 5cyl petrol turbo) , MRC Tuning (A4 V6 petrol) and AmD/Revo (A2 Tdi). That's my advice based on my experience.