Some explanation required i think.
The ECU on the S4 (and many other modern cars) measures the amount of air flowing thru a sensor (the MAF) and uses this value to calculate fuelling.
If you have an airleak, say a split pipe or burst hose, air passes thru the MAF, but never makes it to the engine, which results in the car running like a sack of ****, as the amount of fuel being injected doesnt match the amount of air thats present in the cylinders.
So how does that apply to dump valves? Well, as standard the dump valve simply recirculates the air from the pressure side to the intake side of the turbo. This means that no air is lost, and the MAF readings stay correct and the ECU stays happy. However when you install a atmospheric dumpvalve (the ones the make the loud tishing noise) they work very specifically by creating a huge air leak, dumping all that boost out into the engine bay. So this causes the engine to run like ****e.
As you found with the Bora, replacing the standard airbox with an open cone will allow you to hear more easily the standard recirculating valve doing its job. However on the S4 theres many more miles of intake pipework, and you might find that even with an open filter you wont hear much!