You get more power and more heat and more NOx emissions without the EGR. Not really a problem on a diesel.

The exhaust gas, slightly cooled, replaces some of the combustible mixture in the cylinder, interfering with the oxidation of the fuel and lowering the temp. More oxygen would raise, not lower, the temp, so air won't work here. "Used" air -- mostly nitrogen -- reduces combustion heat since it doesn't contain much oxygen.

Gasoline engines are more of a problem -- since the advent of the EGR, the valve timing has been changed to get more power and economy with the EGR. Blocking it off can result in condiderably more heat, enough in some cases to overheat the exhaust valves and cause them to fail. Also can cause serious pre-ignition under high load.

Eliminating the EGR won't bother a diesel -- the European models are identical and don't have EGR that I know of.

For gasoline engines, leave it on and make sure it works.

Peter

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1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!