you see the way the VW's work....instead of having a blow off valve, they have a diverter valve which pretty much works the same way. The difference is the diverter valve re-routes the blown off air pressure back through the intake to help keep the turbo spooled. The reason why you need the diverter valve before the chip is because the chip is going to increase your max boost psi which the stock one cannot handle because its a piece of crap. From what I've heard, the WRX's use diverter valves as well. You're gonna wanna get the forge motorsports 007p which is pretty much the best diverter valve out there. They cost about $130 plus shipping. You can find out a lot about your car by becoming a member on 18turbo.com and VWVortex.com So read up and you'll learn a lot just like you would on any other one of these sites.
PS oh and expect to spend atleast $500 for the chip...you wont need any additional tuning afterwards though.