Even if teflon tape was used, the crush washer has alot of surface area to make a good ground contact.
Disconnect the wire and if you have an ohmmeter, measure the resistance between the sensor output and ground. Then do the same with engine running. I will try to find out what the readings should be in the meantime.
If your new sensor was a $50+ VDO like the one I got a couple of weeks ago, I find it hard to believe it is bad.
'05 E320 CDI - 86,000 miles
'86 300SDL - 360,000 miles
'85 300SD - 150,000 miles (sold)
'89 190D - 120,000 miles (sold)
'85 300SD - 317,000 miles (sold)
'98 ML320 - 270,000 miles (sold)
'75 300D - 170,000 miles (sold)
'83 Harley Davidson FLTC (Broken again) :-(
'61 Plymouth Valiant - 60k mikes
2004 Papillon (Oliver)
2005 Tzitzu (Griffon)
2009 Welsh Corgi (Buba)