Is it dangerous to not replace a steam boiler pressure gauge that is stuck at 0?
Dangerous? If it malfunctions and an over-pressure event occurs, that's dangerous. Whether or not a functioning gauge will provide early warning or not would depend on the experience/knowledge level of the gauge reader and the nature of the malfunction.

Are you required to have a functioning pressure gauge? Most likely you are but it may depend on the duty rating (BTU), type of occupancy, and where you live. Some boilers in some states require regular documented inspections which include a pressure check. Inquire with your local code enforcement agency, although you may not like what you find out about responsibilities attached to steam boiler operators.

But the rules are written in somebody's blood, just do an internet search for boiler explosions and you will see.