It's one of those things that doesn't hurt/doesn't help...but everybody wants to do it. I removed my EGR because the sensor died and I didn't feel like spending the money to replace it....but I have a Tweecer, so I just disabled the EGR function. But a lot of people want to remove it to clean up the engine bay, and it doesn't hurt performance to do so....even though it doesn't help performance either.
Same with the coolant lines, a lot of people argue back and forth about them. Some say they are to keep the TB from freezing in cold weather, others say it is to cool down EGR gases. But again, it doesn't hurt or help performance to have them or to disconnect them. Some people just like to clean things up and remove them.