My EGT probes look like this - very sorry for the huge image - I hope it scales properly. If not, you can click on it and it will go to my blog with a normal sized image.
Should there not be some kind of washer or gasket there where the probe is welded to the hose clamp?
No gasket or seal. In a short while they are sealed with the tan exhaust coating that forms inside your tail pipe if the engine is running properly. After a long time, they are sealed so well that they will be next to impossible to remove without breaking.