For what it's worth, I also have a 220 TSI vRS on:
Michelin PS4, 225/40/18
Bilstein B12 with the sportline springs
Superpro lower control arms
Superpro front & rear sway bars & endlinks
Stock ecu, open diff (well there's also the stock XDS).
I find the handling to be great. I can drive through twisties and keep up with a friend's non-stock 86 quite well. I find that even though it is obviously stiffer than the stock ride, it doesn't skip over bumps etc too much more. There's really no way to change your suspension and keep the stock comfort in my opinion, despite what people say. However, I find this setup comfortable enough, the roads I drive on everyday can get pretty bumpy in parts. Have never had wife or passengers complain.
My limitation with this setup is my driving ability, then the tyres and probably the open diff. However, I can't really be bothered buying more expensive tyres; and while I thought about an LSD for a long time, I think for street driving, I don't need an LSD since the other mods have made up for some of the lack of traction. I honestly doubt there's much to gain from changing from PS4S's unless you are driving in crappy weather a lot - maybe downsizing to 18" might help a little. Mind you, even at stock power I have no problem spinning the PS4s, so part of it is just learning to control your foot... 😆
I think the question, is what scenario are you looking at? Street driving? Or track?
Order I'd say:
Tyres
Sway bars
See if happy
If not - coilovers or springs/shocks