I'd also suggest an alternate EGR delete kit, from the likes of;
SDP
DHD(AllSeasons)
Profab
HSP
Any of those kits will be superb
As others have mentioned, the Banks tuning will not shut off the EGR parameters, it will probably clear the codes for a moment, but it won't turn off ANY of the egr functions.
I wouldn't expect to see any increase in MPG due to "only" an EGR delete, it'd even be unlikely to see gains with a tune, as the new found power is hard to resist.
With a DSP-5 switch/EFI-Live tuning, You shouldn't see any soot or particulates in the exhaust stream in your stock tune, probably not the #2 (heavy tow)tune either, maybe a tiny bit (I mean TINY) with the #3 (light tow) tune, a little bit with the #4 (street/performance) tune, but you'll get a noticeable amount with the #5 (race) max effort tune. Nothing like a 5.9 dodge, you won't be smoking out the road or anything like that even in the #5 tune, which "can" produce +130whp
Is your truck the late model LLY with a 6sp? If so, I'd highly suggest adding a TransGoJr shift kit to your mods/parts list for $100 (or less). As you can quickly chew up an Allison at +100whp over stock, and EFI-Live tuning can produce much more than that. It's a cheap bandaid/safeguard to "help" to prevent damaging an expensive piece of equipment
EDIT:
Nvrmnd
Read your info, 05LLY..
The 5-sp shift kit is much more involved, just save up for a built trans.