the egr's function is to recycle the exhaust gases to get the engine up to temperature quicker. By getting the engine up to temperature quicker the early stage of your journey should use a bit less fuel (marginal) because the engine is most efficient at X temp.
The downsides of the EGR is that it fills your manifold, shutoff valve, the EGR itself and MAP sensor with sooty crap which can cause a poorly running engine due to bad quality air and can potentially block some pretty important components with soot which live in, and just after, the air intake manifold.
The pro's of not having one is a much smoother running engine with better pickup and less requirement for maintenance as your air intake isn't full of 5h17e. It is a poorly engineered solution to something that isn't that big of an issue in the first instance - they should have just used something akin to a hairdrier if it really was that much of a problem, but i think there's some gumph about emissions too which it helps "recycle" or something hence using the exhaust.
If the material you use to blank off the EGR is substandard and it disintegrates under the heat of the exhaust gases then yes it's going to be fairly catastrophic. buy the one alfa themselves actually produce (yes, even they have basically admitted it's a **** up ahd produced a part for it) and you'll be fine.