I have the pipe blanked off, and the engine management light hasn't been, nor is it on, now.
A good friend of mine is a qualified auto electrician, with his own auto electrical business. The info I posted earlier about vacuum EGR valves, and later electronic EGR valves came from him. He said: "If there are no electrical connectors to the EGR valve, and no sensors, the light shouldn't come on".
My 2003 2.5TDi (AKE) has the vacuum EGR valve, and the light has never been on, either with the vacuum pipe disconnected, or with the blanking plate fitted. Having said that, there are posters on here who have had the light come on after interfering with the EGR. So, I'm confused as well.
Hope that helps!