How hazardous is it if an engine cowl falls off?
I work in aero engine safety but not for the company that manufactured the engine in the event you mention.

Parts falling off engines is Not Good. We worry about them hitting people below the aircraft. And as Koyovis mentions, losing the nacelle or portions thereof (looks like in this case it was the intake and fan cowling) can change the aeroelastic properties, thus inducing vibration, which is not comfortable for the passengers or crew (reducing their ability to do their jobs) and adds additional loads to other engine parts.

It is not true as mins states that the cause or consequences are unknown. The regulatory authorities require manufacturers to submit a detailed (thousands of pages long) Failure mode, effects, and criticality analysis (FMECA) that covers every part of the engine, what could go wrong, what the consequences could be, and what we are doing to make sure it won't go wrong or that the effects are minimized if they do. While I don't work on that engine, I am confident that structural failure and release of the intake is in the FMECA. 

In my professional judgement, in the scale of failures affecting engines defined by the FAA (catastrophic, hazardous, major, minor), this failure would be major, due to a large part falling off the aircraft able to hit a person below, the reduction in safety margins caused by increased vibration, and the damage to critical parts (fan blade) from debris ingestion as mentioned in one of the other answers.

Since the fan blade was seriously damaged, the pilots likely shut down the engine (otherwise the vibration would have been insanely high). But as you mention a single engine shut down is not considered hazardous - we design for that situation. Nevertheless many pilots choose to land after a single engine shutdown.