EGT readings are useful if you're doing fueling and boost modifications. It can be information you can use to keep your combustion chambers from getting hotter than they should. One reason for doing this is when increasing the fueling level, avoiding the concern of melting your piston tops.
To really test max EGTs, you should run the engine at WOT until the gauge reading stops climbing. What I do is floor it in fifth on the freeway up a mountain pass, and drag the brakes as needed to keep the engine from accelerating, until the EGT reading stabilizes. This is the true "peak" temperature for your engine tune. Warning: this is also a very stressful test for your motor. If you think it might exceed what is safe, it might be best not to test it but de-tune your fueling until you think it's safe, then incrementally test and make small increases as long as you are still comfortable with the result.
Not all thermocouples are created equally... some are much more quick-reacting than others by the way. A useful one should react very quickly after you make a major throttle position change, IE: go from no load to floored, gauge should start climbing very shortly after you floored it. Sure it may take 10+ seconds before full temps are registered, but also realize that the piston tops and combustion chamber surfaces aren't heating up instantaneously either and until they reach an equilibrium temperature, they will be conducting heat away from the combusted gasses.
The readings should be useful and comparable to other VW Diesel engines. You can compare readings to what others up on this board have posted theirs to be without incurring engine damage, or if you want more conservative you can use the factory thermal limits. Either test that yourself on your own pyrometer if your engine is stock before you've done any modifications, or find a published figure if available for your engine and use that.
For pre-turbine EGT installation, you generally want to measure all your cylinders. Wherever you can find a location to install the probe that gets its tip in the exhaust airstream of all the cylinders before the turbine is fine. A couple inches variance one way or another is probably not going to make any major change in the reading.
For post-turbine EGT installation, generally you want to get it close to the turbine outlet for the hottest temp. Pre-turbine measurements are most reflective of what is going on in the combustion chamber. Post-turbine measurements are dependant on how much pressure drop there is across your turbine. So, post-turbine EGT readings are less useful than pre (but still, more useful than no reading at all.)