I tell ya why, because if you have an accident, and the insurance company get anything like a sniff that there are undeclared mods, regardless what they are, then they will declare your insurance null and void, and you'll be in a world of shit
EGR removal is almost akin to diesel "chip tuning" (don't even get me going on this, had one on my old Mondeo, under the impression it did what it said on the tin, all it did was fill the ECU with overfuel warnings and **** the injectors up), most people do it without any knowledge of why or how.
Removing a perfectly servicable EGR valve for the reasons of "performance" or "increased performance" is a bit mad, but there you go, plus, you MAY have issues come MOT time with emissions.
They can, and do give problems, but the problems occur when you don't drive the car properly, i.e. pottling around all the time at 2000rpm, or short journeys / sitting in traffic, as they can bung up with crap, a bit like the current crop of DPF's (big problems there), but if you drive like that, and don't give them a good blast once in a while, then you really shouldn't be driving a diesel.
I've owned them all, and the physics aren't GT's highpoint.
That said, GT1 was groundbreaking in terms of console physics, but it seems PD have never really riden the wave as things have improved in other games.