The EGR will cause the car to run a bit more rich. According to OBD-II, a more rich mixture will convert better to Co2 and H20 with less N2o when going through the cat converter. So you will lose a few mpg, but emissions will be emitting less noxious gasses, but almost doubling the output of carbon dioxide. Funny that they trade toxic gasses for greenhouse gasses. The functioning EGR will reduce combustion chamber temps, and extend the life of your exhaust valves and headgasket. So I'd say it's worth losing a couple MPG. Also, are you sure now that it runs better, you're not laying a bit more into the throttle?
