EGR

Not on a Disco you dont.
You cut out the recycled exhaust gas and breath more fresh air/oxygen.

Turbo should theoretically spool a little quicker with the EGR blocked as the first portion of exhaust gas isn't being directed away from the turbo - this may have a marginal improvement in low down torque...

On what vehicle, my experience is;

2003 3.0L Patrol, you need to fit a boost gauge and will need to adjust the turbo grub screw by a 1/4 to 1/2 a turn. When you fit a boost gauge spend a few weeks driving it before you do anything, that way you can get a feel for where the boost should be sitting at all driving situations. Does not make a lot of difference other than keeping the oil clean.

2003 100 Series TD, blocking off the EGR could not be easier, only requires a 40c garden drip system valve from a hardware store and takes 2 minutes. Again only noticeable benefit is the oil stays a lot cleaner.

Snowy.

I had the EGR blocked off on an 170 000km Isuzu 2.8TD. This was done pretty much immediately after purchase, and it went from a slow smokey slug to clean blowing and much faster response in accelleration, but prior knowledge to its abilities before the EGR blockage is unknown.
The deisel mechanic said no adjustment was required to the turbo or any other part.
The mechanic seemed to be more than capable and well respected.
Cheers

I have read that doing this is illegal

Correct or not????????????????????????????????????????????????