The 'slacken off the retaining bolt' is relevant to injectors that use a clamp to retain the injector. If you took the retaining bolt out completely then it could well fire the injector out as the compression on diesels is considerably higher than petrols.
Look at a pic of a new glowplug & you'll see how much is left in the hole & why it can't be sucked into the engine.
Look at the video in the link I posted & you'll see the procedure. As the head of yours has come away from the body you're at the 'tapping the thread into the remains' stage at 1:50 into the video.
TBH with the concerns you raise I'd suggest in your case that you put the threaded end back in & get the whole thing professionally removed. Would save you the worry.