If you're changing your oil twice as frequently as scheduled, you don't need to change your filter with the interim oil changes, after all the filter was designed to go the full distance between services and it's not going to dump all it's contents into the new oil (if it did, there'd be no point having a filter!). Remember these engines are used in other VW/Audis with variable service intervals that can go much further between oil changes.
However, given that new filters are pretty cheap you might as well do both...