Can anyone say whether they also got this rattle when pulling away as well? I have what sounds like exactly the same problem but after extensive investigation (by me and an exhaust specialist) the determination was that it was the tailpipe on the custom exhaust rattling against the rear valance. The rattle on mine also kicks in at 2500-3000 RPM but like I said, I also get the same annoying rattle when pulling away.
I would have to say that you can FEEL this rattle through the seat of your pants so I'm more inclined to think it really is the tailpipe hitting the valance. However, if what I am describing rings any bells to anyone then please let me know. It would be nice if this was something as simple as a loose heat shield.
Oh - FYI. I had a Mk-II Golf many years ago and the heat-shield dropped off the downpipe from the outlet manifold. I just threw it away and thought nothing of it. Two MoTs later I was informed that the bulkhead had been damaged by the excess heat and would need to be cut out and replaced! Exit one otherwise perfectly good Golf. Moral of the story: heat shields are there for a reason so throw them away at your peril.