Removing the emissions controls on diesel engines (EGR and DPF specifically) can actually give a significant boost to fuel economy. At the cost of higher emissions of particulates and nitrogen oxides. Diesel engines recirculate the exhaust gas for cooler combustion (though less thermodynamically efficient, this reduces nitrogen oxide formation). They also come with particulate filters on the exhaust, which both increase pumping losses and require extra fuel to periodically regenerate the filter (basically burning off the soot particles that were collected, which needs extra heat which takes some fuel).
There are reliability improvements to be had as well, reducing operating costs still further (the emissions equipment can get clogged up, especially if the engine isn't running perfectly).
So yeah, farmers (all commercial diesel users really) have a strong financial incentive to avoid or remove these emissions controls, provided they don't get caught of course.