how important is candling eggs and removing the ones that dont have anything in them?
I typically candle my incubator eggs around Day 7 out of pure curiosity. I'll mark whether I think they are developing or not but I don't remove any. I candle again at day 18 as I go into lockdown. This is when I'll remove any obvious eggs that will not hatch. That's not because I'm afraid they will explode but I want them out of the way when I'm watching the ones I expect to hatch. That's easier when there are not as many eggs in the way. Sometimes I'm wrong at Day 7, especially with my dark green eggs. I may think it is not developing but a chick still hatches.
I never candle the eggs under my broody hens. It's just not convenient. Candling has no effect as to whether the egg hatches or not, either under a broody or in the incubator.
If I leave them in do they affect the other eggs in anyway?
Not in a bad way. If you lose power the extra mass of those warm eggs will help keep the incubator warmer longer. That's the same principle of why I fill my freezer with ice during hurricane season. If I lose power that ice will keep my stuff frozen longer than if half the freezer space were empty. During incubation I cannot think of any downside to having those eggs in there.
On the "exploding egg" thing. It doesn't matter if the egg has a developing embryo, a dead embryo, or never started developing. If bacteria gets inside the egg it will start multiplying. If an embryo is developing the bacteria will kill it. It does not matter if the egg is developing or not.
I do not depend on candling to detect bacteria. I depend on smell. If an egg has bacteria in it then it should smell fairly soon. If you sniff an egg and it smells rotten carefully get rid of it. While an explosion is possible most don't explode. A foul liquid oozes out.
About the last thing a hen does when laying an egg is to put a liquid coating in it that we call "bloom". This bloom quickly dries and creates a barrier against bacteria getting inside. It is extremely effective as long as it is intact. So do not wash, sandpaper, or rub any egg you want to hatch. Do not set an egg that has a clump of mud or poop on it as this has broken the integrity of the bloom. A light dusting of dust is OK just don't overdo it. Wash and dry your hands before handling the eggs. You don't want to get oil on the eggs.
I'm not afraid to open my incubator if I have a reason to before lockdown. A broody hen often leaves her nest. The eggs can cool down some. That does not hurt them. Just don't be silly about how long the incubator is open and you'll be OK. I need to open mine about every three days to add water, that's how mine is set up. After lockdown I only open it if I have some type of emergency to handle. Before lockdown that is not a concern.