From what i've read, the EGR is only operational at part throttle. Our emissions test is only at idle on a car of this age, and registers CO and HC. I dont think NOx comes into it.
I've heard that removing this old type system can increase performance slightly, because of its crude nature. I know that a modern EGR system can increase engine efficiency.

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Ben

'85 500 SEL
'85 928S2
'88 560 SEC
'90 750i