I'm picking on your words, but overall more heat is transfered to the cooling system with EGR than without. Not from the cylinders walls, but the EGR cooler itself. Quicker warmup times are becoming quite handy for some people this time of year.
The following is for a fairly typical diesel engine with rotary pump type injection system. It's possible to increase efficiency with EGR, it's just tough and it's not a panacea.
EGR will contribute to clog your intake manifold because it introduces soot back in the intake charge. This soot combines with crankcase vapors to form a thick paste in your intake manifold over the miles. Also, EGR should not be cooled below the condensation point as this would aggravate the clogging .