I think it is a combination of reasons. One reason is because other modifications remove the EGR, such as aftermarket headers or intakes. Another common reason might be for simplicity. Most people don't how the EGR works, so they assume it somehow hurts performance, or adds unnecessary complexity.
The EGR only allows flow during part throttle loads, and can increase your fuel mileage, and of course reduce emissions. When the exhaust gasses are introduced, the susceptibility to knock is reduced.... so when the EGR is functioning, extra timing can be added which gives better throttle response and improved gas mileage. In my opinion, leave the EGR on and functioning unless you have a good reason for removing it.