Thanks for helpful suggestions, car is now running again.
I managed to bleed and prime the system properly, and the car is running well.
I've run some injector cleaner through it, filled it with Shell Ultimate, and with the new fuel filter is is running noticeably smoother, and starts immediately hot or cold.
I opened up the egr valve and unfortunately it came out in 2 pieces, so is clearly broken. They seem to be about £38 on eBay, so...
It's averaging about 50mpg over a mixture of roads, so I'm pleased with that.
Still got other issues to sort on the car so the saga continues...
