I had this exact same problem with my Moutaineer when I was changing the plugs. Now, this is my beater so I wasn't concerned with, shall we say using excessive force to finish the job.
The metal spark plug shroud prevented me from getting my socket down to the plug. So what I did was jam the socket/extension down as far as I could and then yank it left and right until the shroud loosened and eventually popped out of the head. From there I was able to remove the spark plug at my leisure.
These things are simply pressed into the head and with a bit of persuasion can be loosened then popped off. As I said, the vehicle that I did this too is my beater but I really doubt that the absence of a few of these shrouds are going to affect anything in the long run, especially considering that the plugs that I removed were rusted to hell whether the shrouds were initially present or not.
