The EGR tube fitting screws into the EGR valve system module. It is much easier to unscrew the fitting while the module is still attached to the intake plenum. You probably should soak the fitting with P B Blaster or equivalent before attempting to loosen the fitting. A good quality flare wrench will be less likely to round the corners on the hex collar of the fitting.
. . . I am in the market for an 05 Avi 4x4 or an 06 X EB 4x4. . .
I'd second that advice. We've had so many probs with the Avi after owing it less than a year I'm not sure we'll keep it. If I had it to do over, I'd go Explorer Limited or Mountaineer Premier. Right now I have the weird cooling system problem, the chrome rim air leak problem, the broken CD problem and I think I need a new multi function switch since the blinkers and brights are on the fritz. Even if I fix that I'm just afraid of what the cost of ownership is going to be.... From what Ive seen the Explorer and Mountaineer seem like they are a LOT easier to work on.
Did you fill the coolant by removing the engine crossover tube fill plug?
You may have air in the front or rear heater core. Do you have the procedure for removing air from them?