I would get the codes read mate if I were you, the EGR fault doesn't usually bring an EML on.
Ive got a permanent P0404 error in mine whether the valve is blanked or not. There's no EML.
Does it go into limp mode after the lamp comes on? If you're losing power maybe it's something more like the turbo boost solenoid faulty, or the pipes to it have rubbed through on the air filter box or something?
All the EGR valve does is feeds the engine it's own crap to lower combustion temperatures, which in turn reduces Nox emissions. So <in theory> higher combustion temperatures over a long period of time could <in theory> cause damage to piston heads etc.
However, I'd wager that an engine running on clean air with proper turbo boost and running correctly is going to last far longer that an engine that is coked up and running poorly due to a knackered EGR.
Best £3.25 I've spent off eBay for a blanking plate.
Also as Davren says above the 8v will not bring an EML on, so you can use a solid blank plate. However the 16v, you can buy a blank plate with four holes drilled in it that doesn't completely block the EGR flow, I fitted it to my Saab 9-3 150bhp tid which had the Fiat 16v engine in it and it made a big difference.