Jimmy how old is Cosmo ?
have you noticed any other feathers ? Tail feathers certainly drop out during the molt,they normally start with the down feathers comimg out, followed by the smaller head feathers and nape feathers. The the wing and tail feathers are usually last.New pins will start to form which you will be able to see,They push the old feather out.Dont worry about him playing with the feather thats very normal, just check the end of the feather,if it was in tact,no visible blood then it wasnt plucked/pulled it would have come out naturally