The PCM is in open loop when the engine is started until the O2 sensor heaters get the sensors hot enough to be reliable. On a warm day my PCM will switch from open to closed loop in less than 30 seconds. The PCM cycles the AFR slightly for several reasons but one is to determine if the pre-cat O2 sensors are functional. If the PCM determines that they are not functional then it reverts to open loop using stored parameters. If the O2 sensors are functional the PCM will stay in closed loop even at idle. At WOT the PCM switches from closed to open loop because the narrow band O2 sensors are not reliable at the rich AFR needed at WOT. The main purpose of running closed loop is to reduce emissions and fuel consumption. I would be surprised if the PCM compromised that purpose by switching to open loop just because the EGR was not functional.
Just like to point out, what you described is accurate for your 2000, or most, if not all 96+ OBD2 vehicles, as they have heated o2 sensors, and tend to reach closed loop status faster and stay in it for a greater percentage of time, then older obd1 vehicles. Its part of why obd2 vehicles generally get better fuel economy. Older vehicles tend to "drift" back into open loop after idling for more then a few minutes, as there is not enough / hot enough exhaust gas to keep the o2 at closed loop operating temps.
Also, EGR flow absolutely has a major impact on a/f ratio and timing. Its why it has such a big effect on light load cruise fuel economy. Given jd4242's unique combo/circumstances, I can kind of see why he might prefer to go without it. But, generally speaking, EGR is a very good thing; particularly if you do a lot of long distance highway driving.
EGR gas flow:
A.) cools the cylinder/lowers combustion chamber temps, allowing for leaner a/f mixtures and more advanced timing without detonating, which more completely burns the air-fuel charge and makes for more efficient operation ( higher mpg ).
B.) replaces combustible fresh air/fuel in the cylinder with un-burnable exhaust gas. It essentially lowers the engine displacement. Less fresh air in = less fuel needed = better mpg
C.) reduces engine output. So, not good at WOT, or under load. However, when you are just cruising down a fairly level highway, you may only need 20-30hp to comfortably maintain speed. So, reduced power output isn't really a factor here . Also, since there will be reduced power output for a given throttle angle, you may need a slightly greater throttle opening/angle with EGR on vs no EGR. This is also a good thing, as it reduces inlet restriction, and therefor reduces parasitic pumping losses. I would say this factor contributes only a small amount to EGR's total benefits, but it helps.
So, as long as you tune for it properly, EGR is something most people who drive their vehicles regularity should want to keep, or even add. EGR is not incompatible with performance, except perhaps in some of the most extreme cases. Personally, I would love to be able to easily add it to my '93 Ranger