knowing you milage would be useful in diagnosing your problem.

dont disable your EGR yet, fix the problem first. besides, disconnecting the vacuum from the EGR in that engine will dump all of your boost, you have to do something more complicated involving alot more work.

the transmission problem is a vacuum leak, which could also affect the a/c, but i think its more likely that you have a refridgerant leak, probably in the evaporator coil, this is common in the 124 and expensive, but you could have a leak somewhere else. if it was blowing cold when you bought it, the seller might have known about the leak and filled the freon before you drove it, it lasts for a couple days even if theres a leak, this is a pretty common practice for scumbags, but i dont know who you bought it from so theres no real basis for that accusation, just a possibility. it might have been just a cold day like you say.

regarding the blue smoke, that means your burning oil, but only if its blue. if its black smoke, its totally normal.

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1991 300 D 2.5 Turbo, 220k
also in the family:
1981 240 D 185k
1991 350 SD 185k
2006 S 500
2005 SLK 350