I had two issues with the EGR tube and the Dynomax header:
1-tube would not line up properly. I cut the tube, threaded the two pieces into place with a sleeve that fit over the two cut ends, tacked it into place then removed it and welded the sleeve on.
2-the threaded compression fitting would bottom out in the header bung before the tube tightened. Added a washer into the bung so the tube would bottom out higher allowing the fitting to tighten and compress the tube onto the washer.