It looks to me like the Euro Headlights update is a cosmetic project... I suggest you take the money you have allocated for that and get a digital camera... they make some really cheap and amazingly good ones now.. or borrow one.. and make a picture of your problem...That will help ALOT.

At some point where you have tried what you can .... but before you decide to chuck the caliper and buy two new ones, you can mail it to me and I will extracate it. You pay postage both directions...Drilling it on a drill press with a good milling table will get it out.. the trick is to drill only large enough to weaken the metal in the nipple... and then you can usually tap it from the side and collapse it slightly... then penetrant left in the gap can make it to the ( usually rusty ) threads.... metal work is so much fun....