If the setscrew is still tightened onto the pipe while turning the spout, you are likely to damage the pipe coming from the wall. If it's really stubborn, you can insert a screwdriver or a wrench into the tub spout opening for leverage, and turn the spout to loosen it. However, try...
If the plumber’s putty proves too stubborn to be removed using the above method, try softening it by adding heat. If you have a heat gun, use this on excess beads of the substance before attempting to scrape it away with a putty knife or scraper. If this does not work or you do ...