I don't think the angle on the EGR inlet inside the pipe will matter. I'd probably keep it clear for a more efficient header. Its the pressure differential between the exhaust and intake that pulls it through the system.
I'm not sure if they route it through the head specifically to cool it or just for space savings. I'm sure it does add heat in near the cylinder its near. However, I'd imagine the coolant negates that effect a fair amount.
The 3rd gen Prius also uses an exhaust coolant heater. There is more info on that here:
http://ecomodder.com/forum/showthrea...very-7107.html
The main problem I ran into when looking into it was how to disconnect the heater from the exhaust once up to temperature.