Should I connect ground for differential measurement with oscilliscope?
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).