I see I didn't answer all your questions in your original post.
There is no thermal paste on my installation, nor does the service manual mention such. Just screw the new sensor into place on the mounting pad on the exhaust elbow and connect the terminals. It wouldn't hurt to treat the terminals with some corrosionX or some such treatment.
To test any of the sensors in the engine fault shut down circuit you merely need to short across the terminals, thus providing a ground path for the CB2 engine fault shut down breaker.
All the best,
Gary S. Silver
Amel SM 2000 #335