Does pulling fuse for steering lock issue disable immobilizer?
 

Does this leave the car car more susceptible to being stolen? Does it disable the part of the security that stops people from starting the car without the remote? Should we replace this with an aftermarket alarm that kills the ignition?

Yes, Yes and Yes

Not really. All it does is leave the steering wheel unlocked. ESCL was deleted in later models.
Thieves would still have to bypass security to start car. Or just winch it onto a trailer, even if steering is locked.

No. The fob still has to be in the car in order to start.

Depends on how paranoid you are. IMNSHO, if you didn't need an alarm with the ESCL, you won't need one without.

Your best security system is a good comprehensive policy. If anyone even halfway competent wants your car, it's gone and there's nothing you can do about it unless you catch them in the act.

I can't imagine that the Z is a very popular car with car thieves. They usually want something way more common to part out. I do also have a good anti theft device...a manual transmission.