The reason for having coolant run through the EGR is because hot exhaust gases come in through the EGR (exhaust gas return) and the coolant temperatures are much cooler than exhaust gas temperatures. You can cap it off however you will have a warmer intake air charge (less dense), unless of course you've removed your piping for the EGR from the h pipe in which case cap it off.
RYAN
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94 cobra, steeda tri-ax, bbk longtubes, dr. gas x pipe, eec tuner, ultra flo's, 65 mm tb, underdrives, 75 mm MAF, homemade CAI, steeda #19 cam, Steeda LCA's, 3.73's, subframes
13.7 @ 103.03 before cam and gears
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