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I can hear a sort of whistling noise at each gear change. is this normal?

More than likely your turbo or DV as you change gear

I used to have this loud whilsting noise - I loved it! - until I changed from a Wetteraurer chip back to the standard chip. This whistling is far less noticable, but still there...is your's chipped?

No, it is standard.

The noise is like a gear box crunch, and I did not always have it. The gear box is OK, so it has to be the turbo/diverter valve.tks

Difficult to be sure. A sigh/whistle can be due to DV and in fact if you drive in such a way as to dump boost suddenly a normal RS2 can make this noise. You just select a low gear 2/3 had accelerate hard from low revs and suddenly lift off around 3000rpm. If that amplifies your noise look at turbo related issues starting with the DV.
However a grate/crunch sounds like the problem I spent some time tracking down(also an RS4 issue). Usually on hard accleration and lift off I can get a grating noise. Finally isolated to exhaust Y piece behind cats. The inner sleve can seperate causing the noise.
At the end of the day noises are subjective and if in doubt get someone with the right knowledge to listen i,e not an audi main dealer unless you can get an older tech with first hand knowledge.
Where abouts are you ?

Berkhamsted, Herts UK