Jinx - I had my first coil fitted last week too. I found the experience really quite awful, and I was the same...just wanted to get the heck outta there asap! However I did take the info leaflet home.
It can fall out, and possibly without you noticing - but apparently its very rare, and would more than likely occur in the first 6 weeks. And the most likely way you might not notice it fall out is if it was to be 'disguised' within a particularly heavy bleed.
Regarding periods, I was told I would more than likely still have them over the next 3-6 months, but that they would start to become lighter and lighter and possibly stop altogether, and that spotting could happen at ANY point during the next 6 months. But was advised all women are different and to keep track of it.
I was given a chart to track my bleeds, how heavy the flow is, whether I have cramps and even how I feel emotionally to track mood swings etc.
Not sure about a 'duff one' but I'm sure they are stringently produced and tested in a clinical lab environment. I think a situation like that would be very rare. I think that's a question for the doctor! I might ask that one myself at my check up! :-)
I too was nervous to have sex after the fitting, it took me a full week to give it a go! But I can honestly say that neither my partner nor I felt anything different.