Been in the HVAC business since late 90's and have always used teflon tape or pipe dope to seal anode rods from leaking. A drip is a leak and will cause corrosion on the threads no matter how small. As for electrical continuity, even with teflon tape or pipe dope on the threads there is plenty continuity between the rod and tank. All the tape/dope does is fill the grooves between the sharp edges of the threads and those sharp edges will make contact. If you ever removed an anode rod and looked at the threads you would see that the sharp edges are exposed. Still not a believer? Then check the resistance with a multimeter.
As for tightening, I don't use a torque wrench. Instead I tighten with a socket to maybe 1/2 turn from bottoming out then check for leaks. If it is leaking I nudge it tighter until it stops. If it doesn't stop leaking I'll redo the process.
I also screw the rod back in partially. Never know what might enter. Once I found a dead snake in a residential house disconnected propane line.