EGR operates only when engine is at running temp, only above idle and below WOT. On ECM cars a defective or removed EGR may cause a "Engine" light, this can be overcome by re-mapping the ECM. There are several advantages, the greatest being lower NOx and pollution. As far as power, since at WOT it is inoperative, there should be no effect. When removing, the Valve port and all Vac lines must be blocked and sealed. The only downside to removal is that (from memory) cars fitted with EGR by Aust Design rules must have it - if removed cars could be defected off the road. Unleaded come in approx 85 or 86 but in the US I think it was 75-76, so some argue that it is removed to allow for early US cars to run STD leaded petrol. Since most police would be overawed by all the Chrome, they would miss the fact that it has been removed.
Any way thats what I remember, maybe someone with engineering degrees can throw more light and correct me if I'm wrong.