Hi Peter,
I guess what's stopping the shaft coming out is the collar that you've removed the screws "A" from – it's threaded onto the shaft! It's the collar used for removing end play in the spindle and acts to pull the spindle towards the rear bearing to adjust the end float. It's a normal right hand thread – quite fine pitch about 20 tpi I think – but if the grub screws are out it should unscrew quite easily. If it hasn't been adjusted for some time you might need to use a bit of rod as a tommy bar into one of the grub screw holes to get it started. The other thing to check is that the pulley can rotate on the shaft now that the long grub screw is out. There is no key there so the pulley should turn fairly easily. If it doesn't have a look down the hole in the pulley, there might be a second grub screw down there, 2 screws down the same hole is a common method of locking the first screw in place so that it doesn't work loose. You won't be the first to be caught by that and you certainly won't be the last – guess how I know!
The other possibility is that there is a burr on the main spindle caused by the grub screw in the pulley. The nose of the grub screw should enter into a dimple on the spindle to prevent that. If in the past it's been tightened onto a plain part of the shaft then it could have raised a burr. If you look down the grub screw hole you should be able to see the shaft and check that. If there is a burr then removing it before resorting to force to get the shaft out would be preferable, but access down the hole would be difficult. If you need to do that them a small circle of wet and dry stuck to the end of a rod or dowel might work for polishing the shaft locally – it isn't hardened so is quite "workable". I don't think there should be any problems due to wear ridges on the shaft, the spindles that I've seen show some scoring in the bearing areas but nothing significant otherwise. If wear was an issue you'd feel it with the bearing being slack.
Do you need to remove grub screws B and E – YES – and leave them out!! Those holes are for oiling the bearings and you definitely don't want a permanent screw in there to stop the oil getting through. On my round bed lathes those holes are generally plain NOT threaded. If I was screwing anything into either of those holes it would be an oil cup to help with lubrication or a knurled thumb screw to keep debris out. A plain shanked cap would be just as good. The bearings run on a total loss system so you need to be able to add a few drops of oil a regular intervals as you work – it doesn't need a lot – but having to remove grub screws to top up would be a significant disincentive for me!
Good to hear that you got the back plate off – you're getting there.
It would be worth you having a look at – and joining – the Yahoo Drummond lathe Owners and Users group. There is a stack of useful information there and a sizeable body of Drummond owning enthusiasts who can help with queries etc.
Good luck
Keith