Bronco II Negative Battery Cable

Generally attaches to frame

It's important to have SOMETHING between the battery negative post and the body. It doesn't matter if that is the connection in your new cable or an existing ground strap between the engine and body. Your new cable is the path for the starter's current to the engine and some of the electronics on it. The entire drive train is insulated from the body because it is mounted on rubber engine mounts. There has to be a return path to the battery for the brake lights, head lights, radio, and other stuff in the vehicle. If everything works fine with your new cable, there is already a ground wire to the body somewhere. Bolting that connector on your new cable to the frame or body won't hurt now but it will prevent any future problem if that existing ground strap corrodes off. If the vehicle is dead when you turn on the ignition switch or any other electrical things, then you need to bolt that connection to the frame or body.

Sounds like that lug is meant for some other application, ( can be used on a different vehicle). That small wire you found that attaches to the body by the radiator is the important one for the rest of the electrical system. Bolting that lug to the exhaust won't accomplish anything because the end of the cable is bolted to the engine. Electrically-speaking those are both the same point. I think I would remove it so the heat won't degrade the wires.