A check engine light will set for the EGR under these conditions
Closed loop operation
Continuous Road speed of XX miles an hour or more for more than X minutes
Not certain of exact time verses road speed, but it is necessary.
When driving, the ECM checks the EGR by closing the valve and measuring the change across the MAP sensor vacuum value.
It checks it after closed loop is achieved, and road speed is over a certain speed- and time elapsed value.Reason being it is assumed after X amount of minutes that the trip will be an extended one, long enough to sustain conditions for testing.
I would bet if you drove it down the highway at 35-55, steady cruise, for 10-15 minutes, the EGR code would set.
Fact is stranger than Fiction