is it worth my time to do this and in state where emissions law are strict like CA
is it legal

 

its only illegal if you get caught racing and they check your emissions... "if they check them"

 

Since the EGR is only supposed to work at cruising speeds and not at WOT, I dont really see an advantage to removing the system. Your CEL will come on if your still obd2.
The weight savings would be negligable also, although it may make working on your car a bit easier due to more space with the parts removed...