As I understand it the EGR opens under certain conditions (over run, light throttle, etc) and allows a quantity of the exhaust gas to be re-burnt in the engine. This is designed to lower the NOX emissions (not part of the MOT).
If it's working correctly you shouldn't notice any drop in performance, however if it's playin up it will cause all sorts of problems (low mpg, lack of power, stalling, etc).
When I got my Disco I removed it, not because it wasn't working but because of the crud inside the plenum box and air pipes. You see a small amount of oil is lost from the turbo bearings and also from the breather, this coats the air inlet system, if you then introduce diesel soot (via the EGR) it sticks to it.
The crud inside my plenum box was upto 4mm thick in places and I can't see that makes for good engine breathing.
Take off you top air hose (the one that goes from the intercooler to the plenum box) and look inside, stick your finger in there and see what state it's in. Then decide if want to take off the EGR.
In my view it's also just another thing that can go wrong, so better of without it I say.
Hope that helps
Jon.