Any time there is a differentiation in vacuum before and after the throttle plate that's stronger than the spring tension of the EGR it'll be open. So during WOT it'll be closed as there's positive pressure in the throttle body which will keep the valve shut.
The reason you get better fuel mileage with the value (we're not talking more than 1mpg at best) the little bit of exhaust that gets sucked into the plenum takes up a little bit of space. This means less "fresh air" needs to get sucked in to fill in the rest of the space. Less air counted by the MAF = less IPW = better mileage.
In layman's terms, the egr in a sense makes the motor smaller.











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