I've swapped many drill chucks & I've yet to see one loctited!
As said, drill out the screw (they are fairly soft), you can use a tube as a guide to get you started in the centre. Start small, & step up the sizes until the head comes off the bolt.
Put the drill in the lowest gear, clamp it in a vice, clamp a large allen key in the chuck & give it a quick hard smack with a hammer (in the correct direction!). Plenty of guides on youtube.
As said, drill out the screw (they are fairly soft), you can use a tube as a guide to get you started in the centre. Start small, & step up the sizes until the head comes off the bolt.
Put the drill in the lowest gear, clamp it in a vice, clamp a large allen key in the chuck & give it a quick hard smack with a hammer (in the correct direction!). Plenty of guides on youtube.