How dangerous is it to bake food with plastic?
I posted this question in a hurry (because as you can imagine), there was a lot of anxiety concerning whether it was safe to have dinner or not.  It turns out that this ham is not safe; I will quote the USDA:

The plastic bone guard covering the exposed bone is used to keep the
bone from breaking the outer wrap. If left on the meat during cooking,
a 325 or 350 °F oven temperature may not melt the plastic but still
give off an abnormal chemical odor or taste. Cutting away the meat
around the exposed area will not necessarily solve this potential food
safety problem because the penetration of the chemical into the meat
will be unknown. If meat is cooked in a closed container, the
chemicals may penetrate the entire piece of meat. USDA advises not to
eat the ham; discard it.

Source: Hock Locks and Other Accoutrements (USDA)
Quite a disappointment unfortunately.