I've always preferred straight re-maps in previous cars - but I found after the first few months, the fuel economy plummeted. Really badly. My E46 330cd dropped to 29mpg around town - and couldn't manage over 41-42mpg on a motorway. The Mk5 GTi was the same - first few months, there were encouraging signs of the fuel economy increasing by 4-5mpg - then after a year it started dropping below 20mpg!
My 330d has a tuning box also, it has managed a consistent 38mpg around town and will do 48-50mpg on a 20+mile motorway run.
Personally, I can't tell the difference between re-maps and box's - in terms of power delivery. How good or bad they are for the engine is debatable - but I will say this, why would any company even think of selling a device with a 5 year engine warranty, or however long it may be, if they had any idea's it would damage the engine?