I would call Corsair during business hours and tell them what happened...and find out if they will RMA and/or Advanced RMA....FIRST.
As for it being "stuck to the mobo" you'll still need a screw extractor. Screw extractors look like this...

You very gently drill a hole in the screw, then tap the screw extractor in...and use a wrench to remove the screw.
All of this ofc will possibly damage t he motherboard...so if you just bought these parts...or if they are still under warranty...I would just RMA the mobo the CPU and the CPU cooler.
/e Unfortunately, screw extractors are hard to find in very small sizes. Another option is to get a very small pair of Vise-Grips and use that to gently remove the screw.
If you could take and post... a clear pic of the screw in question...there might be other options.Btw, the part that sits on the CPU is not the radiator..it the pump and heatsink.
The advantage to the tiny vise-grips method is that unlike a screw driver, you can turn the screw AND pull UP at the same time. This is assuming the screw is not flush mount.
This post was edited by Ghot on Dec 9 2014 10:58pm