Don't you need to connect the LED+resistor between the pin and ground, and then between the pin and Vcc, and check it lights in both cases? I wouldn't like to guess what state the CKOUT pin will have when there is no clock.
I don't think there is any danger of damaging the resonator if you leave it in place. However, the resonator will present quite a low impedance at frequencies that are not very close to its resonant frequency, and the signal from XTAL2 will provide negative feedback via the resonator to XTAL1. So it may be difficult to provide enough drive from the clock source, unless you match the resonator frequency. I guess it's worth trying with the resonator connected first.