I have 1999 Jetta as well. It is the old body style though. I have an exhaust rattle when I am about to shift. I have had it for quite a while. I might be the same problem that you are having. The shield that attaches to the bottom of the car, above the muffler is what rattles. Even though it is connected right, it still rattles. It is just the way VW made it. I am going to try tu use some high temp silicone to stick it to the bottom of the car. I'll let you know what happens.