Yup, I have experience with diesels and emissions failures, I purchased a 2011 "lemon" 335D under warranty that had to have extensive repair work to make it work right! The X5 35D and 335D have the same engine (though there are small differences). I've replaced everything in the emissions system at least 1x. My family used to laugh that the car spent more time in the shop than at home. I just said it was lonely and missed the dealer service bay. The SES was just a reminder that the car strayed to far from the dealer service bay ;-)

You should pull the BMW specific error code on the car to determine what the actual issue might be. Anyway with a possible "EGR" issue, there is no harm in continuing to drive the car with the SES light on. There will be no performance difference. I've done it countless times, the car does not enter limp mode for EGR failures.

EGR codes are not possible to diagnose without the BMW specific codes. Everything from exhaust pressure sensor failures, EGR valve failures, Cooler Failures, MAF failures, differential pressure failures, etc. could throw an SES for the EGR. I'd actually spend a little time looking at the code because the car throws codes for "EGR implausibility" but it can mean a range of things that a tune/bypass won't fix.

Assuming your EGR cooler is broken, the cheaper fix is to take the computer out and send it to JR tuning and have the EGR tuned out, then block it (unless you buy a salvage cooler). This will remove the SES, and improve fuel economy, and stop carbon build up. The race pipe above is fine, or use IAKNOWNS block plates, either will work. Frankly I'd be real surprised that a X5 needed a CBU cleaning at 80K, but hell mine had it done at 21K miles......