Only way they would not get a code is if you disconnected the battery before you went in, and the CEL did not come on during the trip there...
Anyway, EGR is on the drivers side, rear of the cylinder head.
No, or a stuck thermostat could also cause your symptoms, because the temp never comes up enough to "close loop" the system. This should also set a code, however.
How does the oil and coolant levels look? Any coolant in the oil, or visa versa?