Umm, this is a TDI site... ?
Going out on a limb here: this being a 2005 and all, I doubt you can just disconnect the EGR w/o getting a CEL--it probably has 1) some sort of feedback path at the valve, to tell if the electrics are connected or not, and 2) some method (perhaps an O2 sensor, like my '04 TDI) to determine if the EGR is doing what it ought to--if it's not, it'll still trigger a CEL.
Why not run biodiesel, use good motor oil, and investigate reworking the crankcase ventilation system to catch wayword oil vapors (w/o releasing directly into the atmosphere)?