The Voltage Probe is a direct connection to the inputs of the particular interface. As a result, it is not a true differential voltage sensor and should not be expected to behave like a traditional voltmeter.
The black lead is directly connected to the common ground point of the interface. In some circumstances, this means the black lead is grounded. Because of this connection to the common ground point of the interface, it is easy to unintentionally ground part of your circuit without realizing it. Connect the black lead only to a point in your circuit that can safely be grounded.
Because of the common black connection, when two or more voltage probes are used, the black leads must be connected to a common point in the circuit or unexpected short circuits will be introduced.
The voltage probe may give unexpected non-zero readings when disconnected or open-circuited. This is normal and is due to the technical details of the particular interface used.