I had this same problem, but I have an 06 GTI.
There is a clip with a wire attached to it on the top part of the dash that has to come off when taking the car apart to install the stereo. If that clip is detached any time while the car battery is connected, it will flag the air bag system fault. This is because the air bag circuit has been tampered with.
Just make sure before you connect the battery to test the stereo out you have all the wires connected that you have disconnected so you don't run into another fault.
If you do have another fault, just take it to the dealer anyway a