Concerning your concerns: Rodney is basically a ghost town. The shell, or shot, or whatever, has been stuck in that wall for 140 years now and hasn't hurt anybody. And it is stuck in the wall well out of reach of anyone, unless they decide to get a ladder and go messing with it, in which case if they get blown up its their own fault and they probably deserve it.
In short, it would be a real shame if someone would decide to make a big deal about the possible dangers of that shell and have it removed, as it is one of the coolest things I have ever seen.
Go see it, and marvel at it, and appreciate how it got there and how long it has stayed - but leave the thing alone.