Do you have an EGR cooler, up front of engine. You'll know it as it may have cooling lines to the cooling system and a bendy pipe from EGR on the inlet piping to the cooler to the exhaust.
That blanked off cooling line should go to this EGR cooler, so if it's removed, the coolant line would be blanked off.
Brothers is an '02 and there are some minor differences from what I've seen, so yours could be different to what I know.
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