To test Dave's suggestion, can you tighten the screw back down again. If not then either the key is the wrong size, or the thread in the cover is stripped. 30 turns should have brought the screw all the way out. 2.5mm key suggests M5 x0.8 thread. 30 turns should have shifted the screw 24mm!
Possibly an M2.5 screw which needs a 1.3 key, although I would have thought you would have struggled to get a 2.5mm wrench in that size hole.
If the grub screw is undone, then the cover should slide off the splines, but as others have said they get tight with the gunk.