No you only lose the external changer feed (which you don't have anyway).
The DIS feed is the feed to the Driver Information System, tells you what radio station you are on if your driving is so poor that can't look at the HU without crashing!
More importantly this is also the CANBUS feed on 01+ models, so your HU will not switch on/off with the ignition.
There are ways round the problem, you can use a pass through connector or buy a pin extractor and remove the wires from the adaptor to the main Audi black connector.
Far easier to forget the adapter and pick up the feeds from the rear/sub amp in the boot, or the Bose amp connector if you have Bose. Depends what amp you are installing. If it's just for a subwoofer then you can pick all the feeds up from the sub connector in the boot with no loss of DIS/CANBUS and no need to remove the HU either. This is what I do when installing my stealth sub solution.
If you are upgrading everything, i.e. new amp to drive all speakers and sub then using the passthru adapter is the best bet:
http://cgi.ebay.co.uk/Audi-iPOD-ISO...cles_Terminals_Cabling_ET?hash=item414ce41e50
This is designed for an iPOD adapter via CD changer input, but will also work for RCA output by sliding off the yellow connector and sliding on the RCA adapter detailed above.