Get a drill bit a size or two smaller than the dynabolt and drill the dynabolt out
This sounds reasonable to me. Might need to drill a smaller pilot though, and then drill at pretty much the same size or larger than the bolt so that the sleeve drops out too. Is it a dynabolt like this?
Also bear in mind that if you drill it out, you might end up with the lug at the end of the dynabolt stuck in the hole... Unless the shaft is hollow all the way through you might not be able to get it out.
I'm not familiar with using a dynabolt in a mill (i don't even own a mill for that matter), but are you using a phillips bit in your drill to turn the dynabolt? If so, this would of been ensuring a very, very tight fit with each use tightening it.
Again, i'm not so familiar with the mill, but are you able to get hold of both the bolt and the roller (not where the roller is knurled of course) with a pipe wrench or muligrips to get more purchase on it? It is amazing how much difference just a little bit more leverage can make. Might also be worth trying some wd-40 or something, might help, won't hurt at least. Could also try tapping *gently* with a hammer on the multigrips holding the bolt/roller, the jarring might break it free. Another pair of hands might help, maybe try and get those before you get angry and destroy the mill.
Unfortunately dynabolts are meant to hold in tight.
I thought this thread would be full of hilarious pictures of a dynabolt that fell into a mill in operation