I don't want to say keep on rolling nothing will happen to avoid any lawsuits in case something does but I wouldn't stress about it too much except of course the smell which can be hard to bear at first. Just drive it off or go for undercarriage wash or do it yourself (preferred method).
My friend had a plastic shopping bag stuck somewhere in the engine bay of his Mercedes. It burned off for quite a while and we always joked about it when we rode his car. Other then the smell not much else has happened.
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