It stops exhaust gasses traveling back through the engine.
Over time the inlet manifolds get really gunked up with sooty/oily deposits from the exhaust - this has a slight knock on effect to performance.
Blanking the EGR stops these exhaust gasses from being re-circulated, so the engine is only breathing clean air.
I also removed my intake manifolds and gave them a good clean up - they needed it!
I have noticed slightly better responsiveness, slight increase in MPG and also less diesel smoke from the exhaust.
Fitting an EGR blanking plate to the 2.5TDi wont throw up an error code.