Take out the oil dipstick, if you see mud on it, that's water contamination.
Do a compression check, you can see a clue if the head gasket has a leak, if the compression is abnormally low on 1 cyl.
Oil cooler and EGR cooler are possibilities, oil cooler more likely than EGR cooler. You could try doing a pressure check on the coolant tank and see if it's holding pressure. The only way I think you could check them seperately would be to remove the coolant hoses going in and clamp them off airtight. Then see which one is leaking pressure. This would be the only way without removing them from the car.
Any more diagnosis? You could get an oil analysis but if it's bad then the damage is done. An oil analysis would tell you if there's coolant in the oil but if there's a minor leak than I think you can expect at least a little bit of crossover and bleeding through, maybe not enough to make the oil dipstick look milky and watery.
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