The EGR is usually closed at higher revs, so it's not abnormal.

If you put a gauge on the vacuum line, you'll find the vacuum signal is load sensitive. It's controlled by the EDS system. At higher speeds/loads, the valve is closed (zero vacuum). Otherwise the vacuum signal is proportional to load. It's also closed at idle. I've been giving some thought to installing the left gauge cluster from a 190E, and patching the economy gauge into the EGR feed.