I have heard about some northbridge heatsinks being loose in the first place. Now if it was so loose that you managed to pull it off, I would fit it back on and see if you can pull it off again with reasonable effort. If you can't, then power it on and watch the temperatures in the BIOS.
If you want to be completely risk free, send the motherboard back saying that this heatsink is loose. If it is still under store warranty, great!