Plug coming out really won't hurt anything other than the threads that came out with it, cutting new threads in or drilling
for an insert might drop some shavings in that cylinder and damage it some lowering compression or oil control.
Or it might not, depends. If it's any consolation my 04 had the same thing happen with the previous owner, and it wasn't
well repaired. I discovered this when changing spark plugs as the insert came out with the plug, I found an identical (generic napa)
insert and used a really good thread insert locking compound to glue it back in. Held the last 20K or so. I'd love to see a compression
test but I'm not removing that plug till I'm willing to either pull the motor, head or fix it correctly.
I've been told that a heli coil, if that's the actual brand and not just a slang term for some other insert, isn't really the most ideal fix.
I think ford used and approved Time-Sert brand. Though it's been awhile since I looked into it.
But, if my BS napa thread adapter with some Time-Sert 6020 thread locker is holding, you'll probably be ok.