If real tight, Put CRC on it, and do it again for several days. You want the CRC to soak right under the head of the screw. If some gorilla has mangled the grub screw, file down a larger allen key until it it is a snug fit. When you put the screw back in, use very small amount of "Neverseize" or "Coppercoat" or similar high temp anti-seize lubricants. You will need to get it out again sometime in the future.
If all else fails - The head of the screw is quite shallow (not your standard 8mm allen screw) and if no other alternative, you could carefully drill off the head of the grub screw.