I have picked up severely damaged shells just because I had never found that species before. Later, I find a whole specimen and throw the broken one out. The cicada doesn’t look nearly as damaged as I was expecting given the way you talked about it.
I agree with jhbrantton, unless you’re low on storage space, it’s not going to hurt anything to keep it.
Sometimes when I find extremely damaged specimens of a very rare species like this fugleria tenera
https://www.inaturalist.org/observations/160557643 which someone has stepped on, I just used INat to document my findings and threw out the shell. After that incident it always drove me nuts (though I didn’t say anything) to watch other shellers crunching along the narrow bands of shells instead of walking along the side of them.