If you're mainly wanting to build the car for road use and occasional drag racing, a windage tray shouldn't be necessary. The balance shaft assembly is nowhere near as good as a properly designed, baffled, trap door windage tray but keeps oil reasonably well controlled. These cars haven't had significant problems with oil starvation.
If you're build the engine and plan to do road racing on the track or heavy auto-cross (auto-x) on larger courses with higher speeds, there may be a case to be made for a windage tray.
A couple other oiling and balance shaft-related items, if you're shooting for around 400 whp range and plan to get there with a smaller frame turbo (similar to Mopar Performance Stage 3), the engine may spin up very fast and the stock powder metal oil pump gears can have cavitation (tiny air bubbles) and bind, destroying the gears. Stock or modified S3 running more boost may not be a problem, but combine with nitrous and the pump will not be happy.
Depending on the engine's mileage, if you decide to keep the balance shafts in place and leave them functional, you'll want to verify the chain guides. If the plastic is still in good condition you may be able to re-adjust spacing to remove slack if there's wear. Preferable would be to replace the chain guides but I haven't checked availability lately and wouldn't be surprised if they aren't available separately from the entire assembly.
If you have questionable guides/tensioners and a lot of chain slack, I'd probably take a bolt cutter and cut it. Preferably you'd pull the assembly, tap and block the oil feed, then reinstall, but most people just cut the chain and leave in place. This worked ok when the cars were newer and the balance shaft assemblies didn't have much bearing wear, but if there's a lot of play and they aren't spinning you could lose more oil pressure than you're expecting, so at a minimum I'd install a mechanical pressure gauge off the block and watch pressure after cutting the chain.
