Leaking EGR

Hi, has anyone performed the EGR test in VAG COM under Engine and Basic Settings? I have noticed when the EGR is turned on I can hear a pretty loud hissing sound coming from the back of my PD TDI 140 engine.

Is this normal (since air will be taken in through EGR [which is at the front of the engine block] and in the intake) or should it be pretty sealed at the back of the engine?

Please could someone test this for me on thiers?

Thanks