All methods of getting it free or out have been exhausted
Perhaps you might describe what methods you have attempted as we currently only have your opinion that all possibilities have been exhausted.
Drill and tap it M3 or M4, screw in a threaded rod and jack or slide hammer it out. At worst, the threads will pull out of the copper.
Have you tried pilot drilling it and inserting a wood screw or self-tapping screw?
Even a left-hand threaded screw extractor (eziout) might be worth a go as the copper may have swelled and formed the same right hand threads on itself as the locking screw.
Make a bush with the same thread as the locking screw, drill out its middle as large as you can. Hold a three flute milling cutter in a cordless drill and gently drill out out the copper slug.