The retaining screw is more of a convenience item to keep the rotor from flopping around when you have the wheel off. When the lugs are tightened in place, the wheel is what actually holds it in place against the hub.

If the screw is broken off down in the hub, I don't think I'd waste my time drilling it out. It won't affect brake performance.

__________________
Current stable:
1995 E320 157K (Nancy)
1983 500SL 125K (SLoL)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)

Gone and wanting to forget:
1985 524TD 167K (TotalDumpster™) [Definitely NOT a Benz]