You don't want to use threaded inserts with shear pins -- the sheared section of the pin would stay in the insert, and be nearly impossible to remove. On my 2.2" fiberglass and 2.6" cardboard airframes, I use two 0-80 shear pins; on the cardboard rockets I try to stiffen up the area a little with CA. Other people put some brass sheet metal at the holes, but I haven't found that to be necessary.
Also, you aren't going to epoxy anything to a urethane nose cone -- it won't adhere. If you use thread inserts, you'll want these:
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You *really* want the little "neck" at the bottom of the insert. You size your hole so the first ridge of the neck sits at the top of it, and then heat with a soldering iron to set it. I got some once that didn't have it (oh, so *that's* why the price was so much better!), and trying to get them straight was nearly impossible. Get the longest ones that you've got room for; the longer the better. They sell special soldering iron tips to install them with, but I haven't found that to be necessary. Standard soldering iron tip works just fine.
But frankly the people saying you don't need them here are right. Self tapping #4 screws are ideal for this application. I'd probably use them anyway because I think they give a nice, professional look, but I'd realize I was just satisfying my own preferences.