After going into limp mode for a second time after having the cooler pipe replaced, I took it back, they gave me a courtesy V40, and eventually found a metal tube - not sure what it's called but about 4mm thick, which was before the EGR. As the EGR cooler was so blocked up, the back pressure blew a hole through the tube. It looked like a .22 bullet hole.
To be fair to the dealer, I didn't pay a penny for any of these repairs, so full marks to Marshall Volvo in Milton Keynes for persisting.
However, I am starting to lose a little faith in the D4 engine, wondering if something like this will happen again. I have been looking to trade in for a Merc C Class, but the trade in value on a 2015 D4 is low at £4,200