Mine may have been one of the first shipped out when they hit the U.S. It is threaded on with no set screws. Set screws may have come in later versions.
If your issue is not being able to get a good enough grip on the shroud to unscrew it, you may have to get creative in finding a method of unscrewing it using more force than you have been able to apply..
I am going to tell you what was successful to me when faced with this on mine. I don't need to know how crazy I am from other posters, I already know that and need no reminders.
The boys at AOA are very careful when it comes to "lead dust collectors" and sent me a shroud with an LDC attached to it in lieu of just sending an LDC alone. This was due to a miscalculation on their part that they made good for (

to them). I had to remove my shroud to replace it with the one that was sent so I could send the original back. Like yours, it didn't want to move.
Duct tape to the rescue. I tightly wound, did I mention tightly, around the shroud as low to the receiver as possible. Lots of layers to be exact, lots of them. I then took a plier with curved jaws and gripped the tape as tight as I dared. At some point the shroud will distort, so I stayed clear of what I though that point may be. These were locking pliers so they stayed in place around the tape. Then heated the base with a heat gun on low. Slow and steady she goes.
When I felt enough heat was applied I gave the pliers a sharp shot with a rubber mallet and the shroud broke free. There was no evidence of any kind of glue or LocTite on the threads, but I will not swear none existed, it doesn't take much to hold things down.
So, no guarantee this will work for you, but you can give it a careful try if you like and if you do, let us all know the results.