Ya ... they can fight ya ...
Hole in the side, or slot at the base?
If it's a hole in the side, then it should be an allen set screw, and if you don't see one, I'd guess somebody else ran into the same problem, removed the screw entirely, still couldn't get it off, and gave up. In that case, prop the back of the receiver up so cleaner can dribble into the knob, and a short spray directly onto the shaft if possible. Repeat a couple times and let it sit before attempting to pry it off. Careful with overspray - that can eat stuff - print, clear sealant, plastics - you give it a chance.
PS ... there's usually TWO set screws on the larger shafts ...
If it's a slot in the base, insert a small flat bladed screwdriver in the slot, and push ... that should release a small springed tang that fits into a groove on the shaft. That don't work, some of them need to be pushed OUT away from the receiver face to release.
EDIT >> WD works, but you'll want to clean and dry the control and knob real good afterwards as any residue can gum up. That may be why the knob's stuck in the first place. You also DON'T want to use it to lube the controls as it will grit things up over time and cause binding. If you're gonna be doing much of this sort of thing, a can of DeOxit D5 isn't all that big an investment.
Works on card slots too ... I had a couple circuit board connectors fighting me on a QRX9001 rebuild a bit back. A bit of D5 carefully sprayed on low, let it sit a bit, and they popped right out. Once again, protect for overspray.