Thanks for mentioned the "thread depth". I've seen alot of people attempt to DIY this and just pull or damage those threads to the point a new cat pipe needs to be purchased. Its been an exceedingly rare situation that a tap and die with save a situation like this. If too much torque is applied(without heat, etc..) and the threads are fairly corroded in there(bound,high torque levels required for removal), they just give up.
Having said that, there are times those sensors will roll right out without heat or ag. As these cars age and a vast majority are exposed to winter roads treated with chemicals for ice, the possibilities of them just rolling out become rare.