Disclosed are weld electrode plugs with polymeric inserts for loss-of-cooling detection, methods for making or for using such weld electrode plugs, and electric welding systems equipped with loss-of-cooling detection plugs. A disclosed loss-of-cooling detection assembly includes a plug that attaches to the weld shank of a welding system such that the plug fluidly couples to a coolant bore within the shank. The plug includes a plug body with a clearance hole extending therethrough. An insert detachably mounts to the plug such that the insert fluidly seals the clearance hole. This insert is fabricated from a polymeric material, such as a shape memory polymer, that alters a physical property, such as shape / size, of the insert responsive to changes in temperature and / or pressure of coolant fluid in the shank's bore. When this physical property is altered, the insert unseals the clearance hole causing a detectable leak of fluid from the shank.