How to replace water spout for bathtub which is set in the wall?

I've encountered one European fitting like you describe that was fixed by a single grub screw underneath the spout, adjacent to the wall.
Every other one I have seen has been screwed into place onto a male thread projecting from the wall.
It may well be corroded. If you can get some WD40 into the thread it will help. Apply the lubricant twice daily for a week to ensure good penetration.
A few sharp taps with a mallet or rubber hammer may help to break the corrosion weld.

Big Softy
November 2006