Here's a small video I saw on how it's supposed to come apart..
YouTube - Gunsmith - How to replace rear sight blade on S&W revolver
You may have some rust or corrotion in the blades/screws channel & should put some penatrating oil on it to try an free it up & maybe coax it with a brass punch & a tiny "elf hammer"..
If the head is gone the screw should move out to the left.
I'm sure someone else with more experience will chime in with a better answer..
I also notice in the video that Larry puts the detent & spring in "Too Easily" & doesn't keep his finger over the detent as he installs it, easy way to loose these micro parts IMO..