Nope it wont hurt the perfomance at all! I didnt do anything to mine and the light went out. It only came on 5 times total and would always go out after a day or so. You can get the fingerstick to eliminate the code if it stays on 
Its a computer chip with 5 wires on it that you run into the engine wiring harness under the hood. It confuses the computer to think the EGR is ok after you block it or add remove the cat and set a code for the EGRwhat is the fingerstick?
As long as your state doesn't require smog checks on diesels you should be ok. If they do like Calif started doing, it is an automatic failure if they see the error codes...So my truck is throwing DTCs' (EGR flow insufficient, EGR open) I do have turbo back cat delete and an intake. My questtion is: Will this effect performance at all? Do I need the EGR fingerstick and blocker or can I just run with the codes on?
2005 LLY. Edge Evo CTS