When the allen wrench broke you were twisting in counter clockwise trying to remove the screw. So the corners were pretty well jammed up in the corners of the set screw.
If you can drill the "right" sized hole, doesn't have to be real deep, in the broken piece of allen wrench then you can use a small torx head bit to loosen the jammed up piece of allen wrench by turning it clockwise. Just a tiny amount will break up the jammed up corners that are holding it in place in the set screw.
I've not (yet) broken an allen wrench off in a set screw. One piece of advice I've seen folks give here is to use a soldering iron to heat up that set screw to loosen any Loctite that may be on it. The soldering iron just heats up a small amount of metal and won't discolor the sight or the slide like other methods of heating might.
If that rear sight was to work loose there's another thing you can do for it. Finish removing it from the slide, place the slide, bottom down on a bench or hard piece of wood. Grab a center punch and hammer and lightly dimple the area of the sight cut - under the sight. The spot that the rear sight will cover when in the right place in the slide. The high spots created by the impact of the center punch will help force the rear sight up against the slide even tighter.
