I'm assuming this is the grub screw that secures the hub adapter to the stub axle of the cvd via the pin? That is, the aluminum "hex" adapter to the steel axle. I have had success by placing the vehicle on a work bench, socket of appropriate size supporting the aluminium adapter under a flat side of the wheel hex, then use a punch and hammer to drive the pin out. Once the pin is gone, the grub won't have as much resistance to being removed. Plus, once you get the axle free'd from the plastic hub carrier, aluminum hex adapter and bearings, you're free to use as much heat as needed to get it out..careful not to ruin the heat treatment though. You may even be able to just run the grub screw right out the other end of the stub axle, not sure.
I've fought that battle a few times over the years,LOL.
Good luck!! And don't use red thread locker when you put it back together! LOL