This is an inductor..
These are 90 degrees out of phase (ac) with a capacitor, that is to say that they store a current as apposed to a capacitor that stores a voltage. These types of devices are used primarily in a supply regulation field. They are used to supply a current needed in a situation that the current regulator drops below a certain preset curent limit (for only a millisecond) to try to remain at a constant, much the same way a capacitor is used to level off a sawtooth wave produced by a bridge rectifier. These devices are also used to match one RF circuit to another called impedence matching.
But regardless of the use in this design, most of these type of devices are coated with a varnish type insulator that can be scratched off over time by the constant vibration of your heatsink ,caused by the cooling fan.
In A nutshell...
This is a fairly rigid device. Do not stress, bend, or flex this component. because doing so can fracture the solder joint, stress the PCB trough hole that in turn will stress the inner layer connections on the motherboard, increase resistance (or impedance) and overall reduce the life of this board.
As long as the heatsink does not touch the wire wound on this device, you should be in good shape.
And as always, when building a systen, I suggest placing the motherboard on a stactic mat (mouse pads work in a pinch) and inserting the CPU, Heatsink fan, and Dimm memory while observing static procedures before mounting to a case. This will reduce the overall stress and increase the life of your motherboard.
(Sorry for the long winded response!)