That LED light under the hood is only checking the Diagnostic Module (DM) (socket 19 on the 38-pin connector). You have to get the home brew reader to pull the codes on the other modules.

The DM concerns itself mostly with emission-related items. The EGR being inoperative could be a broken vacuum line. The EGR valve is easy to get to because it's right in front, on top of the intake manifold. Check the vacuum line from it as it snakes its way down under the right distributor and air pump and disappears into the passenger front fender area of the engine compartment.

As for the upshift delay, here is a good discussion of it.

Upshift Delay Switchover Valve, Open/Short Circuit (DM Code 26)

__________________
1993 400E, 256,000 miles (totaled)
1994 E420, 200,000+ miles
1995 E420, 201,000 miles