So they added the EGR valve body, but didn't connect it to the header? I'm guessing that was just for show to get by a quick visual check at emissions check time. I would guess that, yes you'll need to install the missing part(s) in order to return EGR functionality.

Will this solve your leak? I really couldn't say. That's going to take more investigation. I would also venture a guess that a weld somewhere on the header has cracked. Not all headers are created equal. I know some brands for 00-05 and 06-present Impalas were a crap shoot on weld integrity. I don't know anything about Ranger headers though.

As far as EGR goes, As I recall, it's an emissions function for cold starts designed to raise the intake charge temps in order to ensure complete fuel burn and in turn reduce the time needed for the catalytic converter(s) to warm up to operating temperatures. It does this by siphoning off some exhaust and dumping it back into the intake manifold behind the throttle body.

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2003 Edge 4x4 Sonic Blue 4.0 SOHC, Auto, 4.10 LSD, 4-door Supercab