Why do you want to disconnect it?
A EGR valve takes spent exhaust gases and adds them to the incoming intake charge to dilute it in order to make the combustion cooler so not to create nitrogen oxide emissions. I doubt it would have much of an effect on fuel mileage. Unless you block the passages in the intake to make the intake manifold cooler, I doubt there would be much of a performance gain either.
As long as the pintle on the EGR valve isn't stuck open introducing exhaust gases into the intake all the time and creating a vacuum leak, it really should not cause any issue with it connected..
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