The instructions for the fixture are only correct for a metal box. If a metal box was used, the box itself would (should) be grounded. The bracket that holds the light would then be connected to the box, which would make the bracket grounded. Finally the ground wire from the fixture would attach to the bracket, grounding the fixture.
In the case of a plastic box, the box is not grounded. All ground connections must be made by connecting the ground wires together. So in your situation you are correct, you'll connect the ground from the supply to the ground from the fixture using a twist-on connector (or other approved connection).
One consideration is current draw. CFLs have a power factor of about 0.5, meaning they draw twice as much current as a similarly sized halogen or incandescent bulb, which have power factor of 1.0.
So if your fixture is rated for a 50W halogen bulb, that means: 50 = 120*current*1.0 (Power = voltagecurrentpower factor), so the fixture is rated for 0.42 amps.
A 42W CFL would demand: 42 = 120*current*0.5, current = 0.7 amps.
The rating of the lamp takes many different things in to account, not just current draw, but also cooling of the bulb and the fixture itself, but this is just one consideration.
Another consideration is that CFLs, although they run at a much lower temperature, will also fail prematurely at a much lower temperature, so if the fixture is not properly ventilated and the base isn't allowed to cool, it could fail long before its time.
Best Answer
Yes, the fixture is currently not grounded, but it should be. The manufacturer has included a grounding wire because the fixture needs one to be safe and UL compliant.
Assuming there is a ground connection in the ceiling box (either a ground wire or a box grounded through an armored cable), this can be easily fixed. The power is turned off, the bare wire threaded through the chain, the canopy is lowered, and the wire is connected to a ground wire or grounded to the fixture box itself, and the canopy is replaced.
If this is an older home with no ground wiring, it may not be possible to ground the fixture. In that case, you are no safer or more at risk than our parents were before grounding became the standard. In that case, you may still wish to thread the wire up to the box. In that way, if you ever rewire the house or move the fixture to a location with a ground in the box, it is still intact. Just make sure the ground wire does not accidentally touch a live terminal in the box.
Your question sounds as if you have not had much expereince with wiring. If that is the case, you may want to enlist a more knowledgeable friend to help, or call a professional.