ucchocky: the small-diameter pipe going into the EGR valve is a vacuum pipe: the EGR valve is vacuum-actuated, and the vacuum is controlled by a separate valve on the engine bay bulkhead, the N18 valve, which is in turn controlled by the ECU. My guess is that it's cheaper and more reliable to use vacuum to control hot bits than it is to put in an electrical bit that can work at high temperatures. The wastegate/vane control on the turbo is also worked by vacuum, controlled by the N75 valve.
EGR recirculates exhaust gas to the inlet charge to reduce the oxygen content in conditions where the engine is working hard and combustion temperatures get high enough to burn nitrogen to NOx. The whole point of using exhaust gas is that it is an easy source of inert gas to dilute the oxygen - the engine designers fervently hope that there is no oxygen left at all, so it can't burn again. The aim is to meet the legal environmental requirement for low NOx emission. EGR actually
increases particulate (i.e. soot) and CO emission while it is in operation - that's the reason you see a puff of smoke when you're accelerating to join the motorway, for instance. So the designers have to balance this against the reduction in NOx.
The only negative consequence of shutting off EGR is an increase in NOx emissions. CO and particulate emissions will improve, and your catalyst will have less work to do and will last longer.
NOx is demonised as a smog precursor, but having looked at the evidence (and there are a lot of environmentalists who share these doubts) I think that targetting NOx in isolation is pointless, as it is the interaction of NOx with other smog factors, e.g. unburned hydrocarbons and particulates that causes smog, and reducing one while increasing the other is no
help at all.
My TDI 110 does not complain when I defeat the EGR by disconnecting the electrical connector from the N18 valve. I think later revisions of ECU perform a vacuum check to see if all the bits are working, but I could be wrong.