I'm pretty certain E53 3.0d M57N EU4 versions with DPF will illuminate engine warning light if you disable EGR.

If you want to investigate software differences maybe you could check E39 530d. The very last 9/2003-12/2003 manufactured versions have a different DDE version (software) even if it still has the same M57 engine. The only mechanical difference is the last models have boost air temp sensor on the boost pipe (like all M57N engines) and the previous ones don't. On these last models the engine warning light will illuminate if you disable EGR.

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E39 530dA -02 M-Sport Messing metallic
E53 X5 3.0dA -06 Sport Stratus grey
E70 X5 40d -12 M-Sport Space grey