Good call LOCO. Having ALOT of different vehicles with headers on them I can say from personal experience that headers vibrate bolts out of them alot. Not just on the zetec but on just about anything equipped with them. Just means you have to keep an eye on them more often. Better to check them now instead of having to pull them off and replace the gaskets later. Small price to pay for a little more zip under the hood.
95 Contour, Custom EVO bodykit, 2.0l, PNP Focus head, Stage 2 cams, Je pistons, Eagle rods, 4in1header, 2.5" header back exhaust(complete stainless), D P nitrous, ram air intake, 10mm wires, flamethrower.
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Mine did the same thing; lost one and both the other ones were loose on the header->downpipe flange. Needless to say I got some heavy duty bolts/nuts and put locking washers on BOTH sides with some high heat thread lock! 
