That depends on a few factors.
If you have emissions testing, or there is a chance of future legislation for adding it, get the bulletproof diesel EGR cooler
for your year engine and use that.
If you do not have emissions testing, don't see your state adding it any time soon and don't mind taking the chance of getting caught breaking a Federal emissions law that can carry a HEFTY fine (Chances are slim, but it is possible), delete it.
For what its worth, I deleted mine.
Depending on your year engine and the PCM flash, you may or may not get the P0401 "insufficient EGR flow" code. To get rid of that code, you will need a tuner such as the SCT x3 or other SCT tuner with a custom tune. It isn't as expensive as that sounds. You can get the tuner with "lifetime stock tunes" for about $425
from a reputable tune writer.
If you have the tooling and know how, theres a link in my signature line that contains the PDF files for turbo removal/replacement, intake manifold replacement and oil cooler servicing. The link will have all the part numbers you will need and a few notes and tips that can help you.