Putting your sensor in the metal clip is fine, unless the tip of the sensor is touching the metal. If the tip is touching metal, bone, or other heat conducting surfaces then you will get a reading on whatever the tip of the sensor is touching.
The problem I usually have with using the provided clips is that the clip doesn't work with the racks in my smoker. to resolve this I have a couple small pieces of wood that I have drilled out for the probe to slide in. I then put the piece of wood on the rack.
What kind of smoker do you own? I own a MES 30 Gen 1 and the clips work fine with the racks. Perhaps the ET-733 was designed for racks with bars or rods (or whatever they're called) that are fairly close together. The clip keeps the BARBECUE probe above the rack without touching it.