LM35s don't have much output current, so you have to be careful with the load, but if you put a 100K ohm pull-up resistor to Vref, then you could detect an open sensor.

Also look at the data sheet. They don't like capacitive loads, so if you have them located more than a few feet from the PIC, you should put a small resistor in series with the LM35 output pin.