There is two different mounting for Tub spout Threaded or copper.
With a cutout on the bottom it would normally be 1/2" copper pipe coming out of the wall and the spout is held by a set screw.
You've done what i would say to do.
Turn the spout and have the cut on the top so you can see the set screw easier.
If it is threaded on (which i don't think it is) you can turn counterclock wise to unthread.
It may be siliconed or have a lime buildup making it harder to turn. Just try a bit harder.