From the adult weevils I've seen, they are native. American palm weevil, Rhynchophorus palmarum. It has a horn yes! Here's a picture of one I found my dog grabbed and was playing with. For people with weak stomachs maybe you shouldn't look, it's been decapitated haha

It may have entered a lesion, now that you mention it I remember taking out some leaves with a machete close to the stem. I may very well have gone into the trunk a little.
Are these a pest I should be worried about with my other fruit trees? The only other palms I have at the house are pygmy date palms but I have a lot of other fruit trees all around where the coconut was.