Unfortunately,it just sometimes happens that a steel screw inserted dry into aluminum threads seems to bond together.Try all the lube,maybe will work.
Warming some might help,but I'd be wary.If its aluminum,the cosmetic finish is as likely to be paint as black anodize.
A problem with your cold spray,the coefficient of expansion of aluminum is greater than that of steel.So,when you freeze it,the aluminum female thread will shrink faster than the steel screw.Thats tighter!
It may help to cycle it through cold,but don't try unscrewing it cold.
Consider this:Odds are good the screw will break off.If that happens,unless you have a mill and know how,you will likely completely mangle it trying to drill it out.
If there is a smith or shop who has a mill,let them do it before you break the screw.Let them break the screw,if it is going to break.