Good joke!

But seriously, it's on your 300D for the same reason it's on every other passenger vehicle sold in the US since the late 70's or early 80's: pollution control.

No engine is 100% efficient (although diesels are more efficient than petrol engines). The exhaust contains some unburned fuel and other incompletely oxidized compounds (CO, NO, etc.). The EGR valve feeds some of the exhaust back into the engine so it can undergo a second oxidation, resulting in fewer pollutants.

The downside in a diesel is that it also feeds back in the particulates, which can build up on the intake manifold and engine ports like saturated fats form plaque on the walls of your arteries and veins. It can also reduce engine power (slightly).

Many on this forum advocate disabling the EGR valve ("for test purposes only," of course). Just be honest with yourself: Whether you drive an '81 300D or an '07 Whatever, disabling the EGR increases pollution.