Yeah no EGR on any D24 engine, only on D24T.
Some gas 240s had a system called Pulsair that involved EGR and my guess is that yours has that light for use with that system, and something's causing it to illuminate for an unknown reason. IIRC some of those cars had a mileage counter, reading off the speedo, that was set up to turn the light on every 30k miles to remind the owner to get the EGR system serviced. Maybe your car ended up with one of those counters somehow despite being a diesel and not having any EGR?
If you want to check for that, look up under the driver's side of the dash, behind and below the instrument cluster, and see if there's a little black box, about the size of a deck of cards, with both electrical cables and a short mechanical speedo drive cable coming into it. If it's there, unplug and remove it and see if it turns the light off.
If not, you can try to trace whatever's causing it to light, which could be a wiring short to ground somewhere, or a fault in the cluster internal wiring, etc...
Or just remove the bulb for the EGR warning light.
