The diaphragm on the EGR valves opens to a vacuum signal. If, upon removal of the EGR valve, you run the engine, your finger should be sucked down on the hole, not blown off.

I've seen burned valves on engines with very low time after rebuilds. Your issue may be a valve that isn't seating, piston rings, valve seals...something that is designed to hold combustion pressure in the cylinder and is being overpowered.

Make sure the PCV valve is functioning, too.