All these suggestions are primarily coming from experience of seeing 100s of threads go through this forum - some of us don't even own TD4s. So the responses are to similar threads and what has fixed them.
You say it happens in any gear - so 2500 RPM in any gear is a big difference to the transmission - (I'd guess) anywhere from 10mph to 60mph. With such a big difference there, my thoughts turn to the engine which is more consistent to your symptoms - ie its always 2500rpm under load.
Shining a torch on the crank pulley and checking for sparkling dust almost always gives a positive answer if it is the pulley - it doesn't cost anything to test - so is the obvious thing to do first! If there is no dust it would indicate its not the problem - which is good because (for reasons I can't understand) they aren't cheap. If the pulley isn't at fault - expect it to be at some point in the future - they definitely do no last 'the life of the engine'.
The other possible issues become more difficult to diagnose. The injector loom sounds like a barmy idea because if wiring is at fault you would expect there to be a continuous problem. However, and going back to those 100s of threads - the loom is a known weak point with frequent failures. The replacement part is an improved part due to these known problems and the problems usually do not manifest themselves continually - they usually manifest themselves in wierd ways such as at 2500rpm under load! If this is the problem, then its a nice cheap and easy to install fix. Once again it another part that usually doe not last the life of the engine.
These are the 2 things I'd check engine related. I'm also of the opinion that its not EGR related - there are EGR related issues, but as said, if it were serious enough to "judder and shake" the car - I'd expect to see some evidence out of the exhaust and probably a MIL light. Without that evidence, I'd expect EGR related issues to be power drop at probably a slightly lower revs. I'd be more included to suspect the turbo than the EGR for your problems.
So, I would check the engine before moving to the transmission. Because its so variable in the speed, and your not indicating that there's any difference when turning, this leads me to think that its not related to the 4WD setup - however - while you are diagnosing these issues, it is a good time to do a "1 wheel up test" just to give yourself some peace of mind that the system is in decent health and you're not heading to a very large bill. Also check all your tyres are the same make/model/size and pumped to the same pressure.