Completely remove the setscrew. The pocket for the setwcrew is pretty deep and if you only loosen it, it will hang on the divot. Lock the slide in a vice padded with leather or soft jaws. I use an 8" long piece of delrin stock as a punch. Won't hurt the sight or leave brass or aluminum marks. Then tap it out with a standard hammer.
My Dawson front sight was actually tighter than the factory one. Make sure you install the setscrew in the dawson front before you tap it in. It screws in from the bottom, and you engage the hex key through the small hole in the top at the fiber channel.
The little plastic tipped aluminum tool Dawson provides is thoughtful, but I destroyed the plastic tip on the first tap, and it's too short to get a secure hold.