If you have the M57TUD30 (and I believe you do) then you DO have an EGR. You can see it on mine in the picture I posted above - right at the very bottom of the shot, the goldish pipe connected to the inlet manifold right side (photo is from the front so left and right are swapped).

BUT, note that the kit linked in your post is for X5 2000-2003 (which is the M57D30) and doesn't mention the 2004-2006 (M57TUD30) models. That doesn't mean that the EGR is not an issue the later engines but maybe it's not such an issue, especially in our local environments (less extreme

I prefer to keep the engine stock and keep the EGR and inlet clean.
And the best way to do this is drive it lots (minimise cold running).

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Wayne
2005 BMW X5 3.0d (b 02/05)
2001 BMW F650GS Dakar (b 06/01)