Unlike a lambda sensor, which uses a threaded bung, this one uses a pocket. The tube nut firmly presses down on the sensor as it rests on its ridge. On occasion, they do get seized very badly. By removing the flange and replacing it with a piece of an appropriate big nut that has the correct thread, I have achieved success in the past. After you've positioned it squarely in the hole and loosely on the tube nut, you can tack weld the thin slice into place. Full welding isn't necessary because it won't seal there; instead, the ridge on the probe will do the sealing. Not easy to describe.