Last night I decided to check my air filter as you do.. when I finally managed to get the filter out it was black and hadn’t been changed for at least 2 years as last year I had an ‘A’ service which jaguar said it’s not included.
the black stuff was all over my filter and coated the inside of the air box. Do you think this is something to worry about maybe EGR valve? Or just normal for a Diesel engine?

 

A diesel air filter gets a lot dirtier and blacker than a petrol air filter, it's the nature of the beast. That said, your filter was well due for replacement!

 

There isn't a reason why it should, unless the rest of the car servicing has been abused. It will get dirtier driving around cities like London, but the OP is in (relatively) rural England.