Hello Craig,
The EGR valve helps your car more efficiently and completely burn fuel by recirculating a portion of your exhaust and running it through the combustion process again. This results in a cooler, more complete burn of the fuel which decreases you car's noxious emissions by prohibiting the formation of some harmful gases.
The reason this is removed on modified diesels is because the air to fuel mixture is much cleaner, more effient & will increase the power slightly
OR I could be talking out my bottom... Please can someone clarify