IMO, it's always worth remapping a TDi mate... it shouldn't blow your engine providing the standard components are all in good working order. If there is a problem (possibly unseen thus far) then increasing the output will highlight this quicker than it would have done as standard.
Regarding the MPG, I dunno what they do as standard but given an identical driving situation, I'd expect to see a 10-15% increase in mpg post remap.
Cheers,
Grant