Hmmm... could have sworn our EGRs were held closed under vacuum, which is why when you remove the vacuum lines to the EGR, it will be left open. It's been a long time since I've had this come up, so I may be a bit rusty.
It's got to be blocked off if you aren't using it. It's a big boost leak if it's installed without the vaccum lines hooked up. So either reconnect the vaccum hoses or block it off completely.