If you drill a hole, you are asking for trouble if you don't weld the hole and just bondo over it, so you have to pull the headliner and it would be advisable to pull it with the stud gun to insure no problems.
I've had a HF stud gun for several years and the gun works great but as others have said the slide hammer is a POS! I bought a Eastwood's slide hammer for the studs and welded an old vice grip to the POS for a general purpose puller
I have noticed that different brand of nail give different results. Personally I have used DAN-MIG. FP-26 for years see picture they seem to work the best. Frank
I've had an Eastwood stud welder for 20 years, I use it more for shrinking than studs, IIRC it is a Motor Guard passed through by Eastwood. Weld time is controlled by the operator, so if someone was burning holes and blaming the unit, he is an idiot. I have used it to weld studs then cut threads on the studs to hold something together, I think it is a 4-40 die.