Sounds like you have a fast economical diesel then. Great effort.
Regarding the EGR all you need to do is get a blanking plate, remove the two bolts on the exhaust manifold side of the pipe, slide in the new plate and bolt it back up. As Adam said, if the pipe splits you will get a boost leak so a second blanking plate at the top would then be needed as well.
You could remove the whole lot, small weight saving and the smaller diameter of the EGR would be removed so you would have a potential increase in power (due to the increased flow capacity) but that is up to you.