Revolvr, I'm no expert, I just play one on forums, but if it fell out of your gun I would say it was supposed to be there. If its a new gun, contact the manufacturer and they should repair it under their warranty. They may even pay shipping both ways. E-mail or call them with the problem and be sure to mention you're a SASS member or CAS shooter. None of those companies that make products for our sport want to get a bad reputation for quality in our ranks.
Additionally, some guns, like the Rugers, you can dry fire, while others you can't. If you dry fire some models, especially those with a hammer mounted firing pin, you need to use snap caps to keep them from breaking.
My best guess from your description is that the piece is part of a hammer block safety system to keep the weapon from firing if its dropped. I would consider that important since I don't like being shot.