"I am looking at a European power cord with two identical male prongs for power, the safety ground appears to be a female third connection."
The two male prongs carry 'zero' and 'AC phase', the side contacts are 'safety earth' and are connected through a third cable to an actual earthing rod via(in the past before widespread use of plastics it was often connected to a tube of the water supply) that ideally reaches the ground water.
"What do Thereminist do if no safety ground is at the wall?"
Use an extention cable from a socket/group that has safety earth side contacts. Officially not recommended I think. In my days of tinkering with germanium diode 'crystal receivers' I clipped a lead on a bare metal part of a central heating radiator for an earth connection.
As to using reverb/delay or not, this is more of a taste question/option. Delay or reverb act a little as help to keep a steady pitch, as you get 'beats' between the direct and delayed signal when the pitch wanders off, so they can act a little like 'training wheels'. Lately I often don't use any delay or reverb and the only effect I may use is an envelope filter effect. Getting a pleasing / fitting sound the is the interplay between the theremin and its waveform and brightness controls, optional effects from pedals/stompboxes, amplification chain (with tone/EQ control) and the speaker system including cabinet characteristics.
And a big part of the sound when actually playing comes from the hands/fingers of the player. A good player can sound better playing a mediocre theremin that doesn't have the most ideal/beautiful sound than a bad player on a theremin that of itself has a beautiful sound.
Paying with reverb can give the illusion of playing in a big reverbant space in a livingroom and the delayed signal can help to keep one pitch steady and also helpful with interval jumps, faintly hearing the trail of the previous pitch. It can mask some shortcomings of both the tone as wel as playing accuracy, playing without any reverb in an acoustically 'dry' room is more revealing and challenging in my experience.