If that's the case I recon the easiest solution for Morbihan would be to acquire an automatic centre punch.
They start at around 5 or 6 quid in Screwfix or Machine Mart.
Punch an indentation axially, in what you can see that remains of the set screw, as close as you can to the circumference of the screw.
Punch it again. And then again. You are looking to make a nice deep indentation.
Once you've achieved that, take the punch, place it in the indentation, and tilt it slightly so that it is tangential to the circumference of the screw.
Punch it gently, punch it again and keep repeating in an anti clockwise direction.
You'll find that the screw will start to turn, and you'll be able to extract it this way.
I've used this method successfully many times.
The smallest screw I've managed this on was M4. Anything larger will be easier. You can probably do it on an M3, but it'll be a little trickier.