Being that the set screw has loctite, and that its being threaded into a plastic trigger guard, does limit what you can do and still save the trigger guard.
Truth be told, I would start with a EZ Out, and needed, undersized drill the bolt head channel so you can get a bit more bite on it with the EZ Out to still thread it out of the trigger guard.
Hence the use of heat on the bolt to break down the loctite bond is going to end up with the trigger guards thread just melted, and if it did come to that point that you are going to destroy the trigger guard anyways, then the guard can be cut in half to just leave the front end of it still in the receiver, then make a cut across the bolt still inside the trigger guard front end to pull the front of the guard out two pieces instead.