My engine didn't have an EGR cooler, but about a year ago I
installed one from a newer (EURO 4) version. It's hard to tell whether warm-up times shortened, since at the same time I had a block heater installed, plus I added an upper grille block and engine insulation for the winter.
I read that the EGR valve on my engine doesn't open until the coolant reaches a certain temperature, probably to reduce the risk of condensation. Newer, more emissions-centered, versions may start EGRing earlier.
As for milage, I didn't notice any immediate changes, maybe because right after installing the EGR cooler we had a long and cold winter. This year's milage has improved, but I like to blame that on fine-tuning the nut behind the wheel
I don't know if the cooler helped NOx, since my inspection garage doesn't do emissions
