MattH - for what’s worth there’s a post on HB of someone replacing the steam wand on the Micra with a Slayer’s. The member doesn’t say anything about it being hard to remove, so maybe we can assume it’s not threadlocked.
Try getting someone to hold the steam arm firmly in place for you, and then you screw the tip anti-clock wise. This would avoid having the need to remove the whole steam arm to make it easier.
Think Dave once told me a trick: wrap a few turns of electric tape ANTI-CLOCKWiSE. Undo a bit, hold the steam arm with one hand and then pull on the tape. The hope is that it will turn.