Hi,
I can think of a couple of possibilities here...
1) As I remember it, the Phatbox in the VW is powered by the cable from the head unit. It is just possible that when you play the music really loud, the voltage at the head unit may be dropping due to the current taken by the amplifier, and this might just be causing problems (but it seems unlikely). Reasons for this could include a wiring problem, a poor fuse connection, or even a faulty fuse. Ideally you want to be able to measure the supply at the Phatbox end while this is happening, and that won't be easy without opening up the box.
2) A more likely possibility is that the Phatbox is getting physically shaken about by the bass (depends on location of the box, security of mounting, any extra loudspeakers or subwoofers, etc), and this may be causing either the hard drive to skip, or may be it's shaking some connection about somewhere, either inside the box, or where the cable meets the box. A number of people have had issues with one of the ribbon cable connectors inside the box working loose, and also with the 26 way connector at the end of the cable from the headunit.
Hope this helps you.
Anyone else have any other ideas?