There wouldn't be a vacuum leak. There'd definitely be an exhaust leak though especially with the EGR closed. You'd hear it puffing through the hole. It might sound like a vacuum leak, but it wouldn't actually be one.
Youre right, guess I had a mental "technichal hiccup" However it could effect the egr system function because the pressure of the exhaust gasses going to the egr would be different than what the system was designed to work with.