I haven't posted on here in years, and I can't get into my old id. So here's a post from a 'total noob'.
The preamble that must be spoken is that it seems like your mods are beyond the Cobb Stage 2 maps. In my opinion your K&N filter and turbo manifold are the biggest issues. I think you really need a custom tune, but it looks like you're in SLC so that should be easy enough to get sorted...
But, on with it..
I assume you have the Access Tuner Race program. If you don't, get it from Cobb:
http://www.cobbtuning.com/info/?id=4214
Read the manual that comes with it-- start the program then Help->Help to open the pdf.
Now, search here and Cobb (or just Google) for Knock Sum and you'll see that the community regards less than 5 as desirable, and less than 10 mandatory. This is when the engine is fully warmed up.. when cold, you'll get a lot more knock sensor action because of several reasons, including the mechanical noise of a cold engine.
In general, with a warm engine, you should see 0-1 knock sum under heavy throttle.
It is normal for timing to vary with rpm and load. What you'd look for is evidence of timing never reaching the tables (which you can see in AccessTuner Race), or being withdrawn after knock sensor activity.
EGR is exhaust gas recirculation. It's an emissions control device and you should be around 500-510 while cruising on a warm engine. Under WOT you might see it dip, this is normal. On a cold engine it's hotter because the EGR valve is fully opened.
EGR isn't totally useless but it's definitely not Exhaust Gas Temperature. EGT is extremely useful assuming it's plumbed in the right place.
I don't know about the vacuum lines. I ran stage 1 for a month and no problem, but I just installed a full TBE Monday and I think I do need the lines. So.. I would guess, that yes, you need them for stage 2. My AccessPort didn't come with any, so I need to call up Cobb.