Question How to proceed

It might have been attached with epoxy. If it cannot be unscrewed, then drilling and taping new threads might be needed.
You could try using a low temperature flame to soften the epoxy - a butane cigarette lighter, not a hot torch.
 
I think you should try the JayKosta solution with attention paid to timing, if the mild metal reacts to the heat and whatever is holding it in place you can use diagonal pliers with some sharp knife edge and a hammer to try and get it to move upward. Or you can delicately use a Dremel tool with small grinding wheel.. Touch it to the bezel momentarily and see how deep into the brass material you have gone through.. I would take the grinder and make a small notch if brass material and use chisel or small flat screwdriver to see if you can get the brass looking piece to rotate on the brake stud braze on..being careful not to go crazy and bend it ..you don't care about the frozen on part so maybe even a gentle grip from Visegrip type locking pliers might get you enough bite to get it budge.
Also a bike shop that services or sells older bikes might know a trick.. You should be optimistic and have smile and beer as you walk in..I always pretend that everything is easy for them and hard for me..flattering bike mechanics is very effective.