Yes, I would replace them both; the trans tech that assembled my trans and measured the preload, found that all my bearing were in spec and didn't have to be shimmed.
I got pretty much, all my bearings from the VW dealership but I have seen, that bearings seem to be more available now (I replaced all the bearings; as mine were scored from metal shavings/particles). At the time; there wasn't a choice.
Keep in mind; I had my transmission apart and I was able to read the bearing part numbers in the trans, search that way (plus confirm ordered parts were matching part #'s).
I have seen bearing sets on ebay for the 02M and these guys seem to sell parts:
http://www.zelek.com/vw_hard_parts.htm
After exhaustive research; trying to cross bearing numbers and call a zillion places, even calling oem's I hit a wall on bearing availability. At that time; the oem's were telling me that all the bearings were being sold/distributed to Germany and VW AG, were not for sale to the aftermarket, that may have changed by now? They said; they have a exclusive contract for so many years and then, after that they may make them for the aftermarket.
For the differential bearings; they are a common size and you should have no problem getting them at any auto parts store (the particular size; is used on MANY cars and even USA/domestic cars). I think I got a set of quality TIMKEN bearings; online, Rock Auto or even amazon for dirt cheap. For the other internal bearings; at the time of my rebuild, most were dealer only (unique sizes; specific to that transmission). Check my rebuild thread; for more info. Seeing how you are only replacing a couple of bearings; they probably won't be terribly expensive from your vw dealer; just research and decide what is best for you. Online VW dealers; tend to be cheaper on prices but sometimes, dealing with your local VW dealer is a good idea and they can help figuring out what you need and its easier to return parts, if they end up getting the wrong ones. Be sure; to have them search for parts, based on your transmission code and VIN #, to ensure you get the right parts.