Hi Oscar,
First, you have around 275 sensors, so rejecting one is not a big deal. And in this example you show, the sensor is obviously misbehaving compared to all the others so it's fine to just reject it.
As a general rule however, the question is always whether keeping it will introduce more noise than signal and degrade or improve what you're trying to measure. So it depends on the sensor location vs ROIs, frequencies of interest, etc. and how strong the noise is vs the brain signals. First, I'd change the PSD display settings to log frequency or zoom in so you can better see the usual range of interest around 1-50 Hz. (I also prefer log of amplitudes in physical units for the y-axis because I know the CTF noise floor should be under 10 fT/sqrt(Hz).) Then compare this empty room vs one of your subject recordings. If the bad sensor is still well below the brain spectrum for this same sensor, then SNR is probably still ok and you could keep it.