Suppose I need to view voltage between two arbitrary points of a circuit with an oscilloscope. For that I can use two probes and A-B math, but should I connect the ground lead to the circuit? How to maximize CMRR?
Yes, you need to still connect it to ground of the device under test because you are doing two single-ended measurements, not a true differential measurement.
A true differential probe has no ground and uses the ground of the test equipment.
Without a ground reference, there is no guarantee that ground reference of the two single-ended probes will match. So then you might say, OK, I can connect the two probes grounds together. But then you might hit the max voltage limit of your single-ended measurement. For example, what if the scope probes ground reference floats up to 8V from external charges and your scope clips at 10 V (at 1V per division setting), now you can only measure up to 2V before the signal clips.
So basically, because you are actually doing two single-ended measurements, you still need to ground your device to your scope or else you'll pick up all sorts of noise and weirdness (AC line, etc).