Common spot for it to leak but it's doesn't matter. EGR channel is under positive pressure and is not part of the vacuum system of the engine. This would be filled with exhaust gas from the combustion chamber and under positive pressure.
What likely happened is the smoke from the tester made it's way to the combustion chamber that connects to the EGR port and the smoke made it's way up. You can try rotating the engine by hand to close the valve on that cylinder which, or just disregard the result. I usually pull the EGR off and put a plastic bag over the port and bolt it back when smoke testing.
I've run brand new aftermarket and NOS egr valve and they leak at the seat.
EDIT: or they leak out of the diaphragm. That's a vac leak. Cap the line to check this.