(1)证明:如图,过点$E$分别作$EM⊥ BC$于点$M,$$EN⊥ CD$于点$N.$
$\because$ 四边形$ABCD$为正方形,$\therefore ∠ BCD=90°,$$∠ ECN=45°.$
$\therefore ∠ EMC=∠ ENC=∠ BCD=90°,$$\therefore$ 四边形$EMCN$为矩形.
又$\because ∠ NEC=∠ ECN=45°,$$\therefore NE=NC,$$\therefore$ 四边形$EMCN$为正方形.
$\therefore EM=EN,$$∠ NEM=90°.$
$\because$ 四边形$DEFG$为矩形,$\therefore ∠ DEF=90°=∠ NEM.$
$\therefore ∠ DEN+∠ NEF=∠ FEM+∠ NEF,$$\therefore ∠ DEN=∠ FEM.$
在$△ DEN$和$△ FEM$中,
$\begin{cases}∠ DNE=∠ FME=90°, \\EN=EM, \\∠ DEN=∠ FEM,\end{cases}$
$\therefore △ DEN ≌ △ FEM,$$\therefore ED=EF.$
$\therefore$ 四边形$DEFG$为正方形.
(2)解:$CE+CG$的值为定值,定值为4.
$\because$ 四边形$DEFG$为正方形,$\therefore DE=DG,$$∠ EDC+∠ CDG=90°.$
$\because$ 四边形$ABCD$为正方形,$\therefore AD=DC,$$∠ ADE+∠ EDC=90°,$
$\therefore ∠ ADE=∠ CDG.$
在$△ ADE$和$△ CDG$中,
$\begin{cases}AD=CD, \\∠ ADE=∠ CDG, \\DE=DG,\end{cases}$
$\therefore △ ADE ≌ △ CDG,$$\therefore AE=CG.$
$\because$ 正方形$ABCD$中,$AB=2\sqrt{2},$
$\therefore AC=\sqrt{2}AB=\sqrt{2}×2\sqrt{2}=4.$
$\therefore CE+CG=CE+AE=AC=4,$即$CE+CG$的值为定值4.