I knew a fellow who had the battery blow up in his face, minor chemical burns, luckily no eyesight damage. It was 30 below, he had battery problems, so he had a charger overnight on it. When he removed the (unplugged) charger, it must have sparked.
The problem battery is the one more likely to blow up, it’s probably been generating hydrogen. Best advice, yes, is avoid being in the path of any potential blast as much as possible; connect the last clamp on the frame if you can.
It’s because you don’t have that dedicated jumper connector I described in my post just before yours, and your connection to the frame sucks.
Actually, when I jump my car, it often won’t start when I first connect the jumper cables, even when they’re connected right to the battery. My guess is I’m trying to pull too many amps through the cables, since I’m simultaneously trying to charge the dead battery and start the car. That’s a lot of amps. If I wait a few minutes, the dead battery will get a little charge, and can maybe provide some current, rather suck it away, and the car will start.