EGR / CEL Problem

I have a '01 MP3 and I got an aftermarket header. The header has threads for the EGR fitting to screw into but the two did not line up. I decided to just plug the header but it is still not connected the the egr tube. This is causing my check engine light to come on though. Am I hurting my engine at all or is this something that I can ignore. (omg)
 
It needs to be fixed. I have the same problem, but I got them to line up and I tightened the nut. I had to remove the header and now all the threads are stripped. You should be able to bend the EGR tube to get the ends to line up, but be careful if you take it off because you'll need to pull on the tube so that you don't wear off the threads.
 
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