Reset it by all means, in case it's been triggered through a loose or poor electrical connection. You might consider checking them too - but on my DPF, where you'd expect some poor connections after 300,000km - everything was perfect (it was my sensors that had failed).
If the ECU can't detect oxygen in the exhaust, it may influence (reduce) CAT reductant injection (it's where the ECU opens the injector during the exhaust stroke to flood the catalytic converter with diesel).
While that's not critical to the running of the car (it is in petrol engines because it uses the data for air-fuel ratio calcs) it may limp-mode the car if it occurs for too long. You'll know limp mode - the car will feel completely gutless, fuel rail pressure won't exceed 14,000psi and engine load will report as 100% at the slightest effort (in case you're watching engine data with an app like Torque). If it doesn't limp-mode it within a few hundred km, it probably won't.
I'd be checking connections first. What if the sensor has been forgotten during reassembly?