Thank you guys for your ideas.
I made as Mouthful said and here is the wonderful slideshow ;-)
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ImageShack(TM) Wonderful slideshow
picture #1 : the damaged screw head
picture #2 : could not unscrew more than this
picture #3 : i got the heatgun so after i heat the top of the screw without succeeding in removing the screw, i choose to move (rotate and lift) the aluminium part to have a direct access to the screw base and heat this part. I removed the gasket to not put fire here.
picture #4 : here is the heatgun i just bought this morning (27 euros)
picture #5 : I cut the black allen wrench to shorten it, and once the screw hot, i couldn't unscrew by hand, so i helped myself with an other tool and that worked !
picture #6 : here is the damaged head of the screw, even in this state, i could have some grip on it with the allen wrench.
picture #7 : the alluminium part is removed, i can access to the lifters. I see one has oil on its top, and the other doesn't. I wonder if it has something to do with my cold start problem. Next step is to put back the old lifters in this place.
picture #8 : A little reward because i deserve it (champagne !!!)
picture #9 : The adaptater i made from an old sparkplug to use my compression tester (next step).
This screw removing was very boring in my head, because i wondered if i would not better screw all again and ride to the next harley shop and spend a month of wage to have this screw removed.
But thanks to your tips guys, i use the heat, patience and faith and that worked !
Thanks again for this screw part, now i must work on the next part ... (the one cylinder cold start).