EGT gauge, not EGR. An Exhaust Gas Temperature gauge will help warn you your cylinder temps are getting too high so you can back off the throttle and reduce the chance of cracking a head or blowing a head gasket. On a 1kz, the blank to cover the hole in the exhaust manifold from removing the EGR pipe happens to be a very convenient and easy way to insert an EGT probe into the exhaust manifold... much less painful than removing the exhaust manifold to run a tap there.
BTW - I used that kit - very easy. I did not use their EGT probe and gauge but instead another brand.