That is the feed to the EGR cooler from the back of the oil cooler. When people do a complete EGR delete they remove the steel pipe from that stubby hose and either use a big bolt to blank it or replace it with a rubber blanking cap from the later TD5 which didn't have the EGR cooler pipe.
You need to see why yours is leaking, is the stubby pipe split or is the bolt not suitable (full thread set screws can leak down the threads,needs to be a bolt with unthreaded shoulder shank.