EGR's sole function is to reduce combustion temperatures in order to reduce the formation of NOx. There is no performance benefit; in fact it is detrimental to engine performance. It is there so that engines can pass EPA emissions standards only. The only caveat is higher combustion temperatures MAY cause durability problems IF the engine was not specifically designed without EGR - this does not mean every EGR engine WILL have problems w/o it. There is some potential risk by removing it; the risk has to be evaluated for a particular engine. If you want to know more, PM me, and I will talk to my companies engine designers across the street from me.
