There's a throttle plate just upstream of the EGR inlet which at low loads is partially closed to help draw EGR into the inlet. When you put your foot down, this throttle valve gets opened up, as the EGR is then turned off.
Despite sounding like a bad thing, as it only closes at partial load, it doesn't do any harm to performance. Although I have disconnected the EGR on my car, the throttle valve is still connected and working.
Incidentally, the throttle linkage should be lubricated with ATF (which isn't an obvious choice of oil, but that's what MB say!)