EGR puts hot sooty exhaust gas back into the inlet. The theoretical purpose is environmental (no, seriously), to reduce the peak combustion temperature by displacing oxygen in the inlet charge with "inert" exhaust gas, thereby reducing NOx formation. As an inevitable byproduct it increases particulate formation (soot).
The inlet charge already contains crankcase vent vapours, which carry a substantial amount of oil mist. When the two mix, sticky sludge and hard carbon deposits are formed on the inlet manifold, choking it and reducing the car's performance and mpg, increasing soot formation and etc.
Deleting the EGR prevents any more deposits forming on your inlet manifold. It'll still need a clean, though.
I have assumed that you're thinking of deleting the EGR, not just the EGR cooler. The EGR cooler is there to reduce the amount of crud formation and deleting just the cooler would make things worse.
