I don't know for sure but remember the EGR valve is switched ON/OFF very quickly by the ECU. If you consider it under pressure from the exhaust (not certain if it would be :chinpossibly? any ideas on why the noise goes when egr not connected and comes back when is connected?
On the other hand, this leak would still be there when the EGR is shut (i.e. not being musical
If it's a leak it should be detectable. You could try the bubbly soap solution trick but take care you don't suck a lot of water into the manifold