0E800 someone correct me if thats a major security concern, just saying that I am unable to get Piwik analytics to show unless all references are removed
While not a big risk, I would advice against removing that header. SAMEORIGIN
should be fine, depending on what you host on the same domain. If there's any place users or third-party might place custom HTML, in particular IFRAMES, I strongly suggest not disabling frame protection.
Allowing inclusion of your analytics admin panel inside another website is dangerous, one could trick you into clicking various options by placing it in an iframe behind content on a webpage.
You're probably a lot safer if your analytics server can only be accessed directly. That header has no impact on the correct working of the javascript tracking code.
I'm not sure why that iframe thing was added to the extension in the first place ? It's not required for the tracking to work and users might downgrade their security to use it...
By the way X-Frame-Options is now deprecated, the browser will use the frame setting provided via CSP if available.