I don't think it really matters, it should run better than it is with it disconnected that's for sure. It shouldn't damage the probe unless unburnt fuel is getting into the exhaust (either because of over-fuelling or a misfire).
I think next I would check the whole engine wiring loom, using a multimeter in resistance mode, checking that the wire to all the sensors goes back to the ECU plug with almost no resistance. You've said the earths are all good, how have you checked that? There's a point in the wiring loom where a load of earth wires are connected together with a metal crimp, I can't remember exactly where it is located though, I think somewhere near the ignition coil but it's been a while! If that's in bad condition then you'll get earthing problems.