Replacing the exhaust valve springs will solve your problem
I had the exact same problem as your are describing. Fitted milltek along with other stage 2+ gubbins and it was still happening. Took it too Audi and had the valve springs changed and problem was sorted.
S3 Sportback - Ibis White
Factory: Privacy Glass, Cruise Control, Heated Seats, RNS-E, Bluetooth, Bose, Ipod Dock
Modifications: Revo Stage 2+, Forge CAI, APR HPFP, Milltek TBE - H&R ARB's & Springs - TV Tuner, Reverse Camera
Wanted: Stock S3 facelift alloys