Long tube headers make more power than shorties, but how much more is a good question. I've heard some say shorties don't make much more power than manifolds. But I've never seen dyno runs on each type to confirm that. If your setup is not very serious, ie just a couple bolt-ons, you'd have to evaluate whether any possible power increase to you would be worth the price of a new set of headers.

You can lose EGR. Worst case scenario the computer stores a code saying something like 'no a/f ratio change detected when EGR solenoid activated'. Not exactly the end of the world there. But then, do you have emissions testing where you are? No EGR may cause a problem...