Problems with stock gear with no screw on Ender 3 pro

Heating it proved futile in my case (I didn't have a blowtorch either), I was able to get the gear off by using a Dremel, I also flattened a small side for the screw.

However, to my extreme frustration, I found out that the actual height of the shaft is not long enough to reach the dual extruder's filament hole and thus had to order another motor.

This is an older Ender 3 Pro, they at one point came with these press-fit gears, these are not intended to be removed which is a poor design decision. I would recommend buying a new motor than going through the hassle of removing it.

This brass extruder gear is either press fitted (see other answer) or hot crimped onto the shaft. Brass has about twice the thermal expansion rate as stainless steel, so you could heat the gear while cooling the shaft (e.g. stepper upside down with the shaft in water, heating the gear with a small torch lighter, a makeshift aluminium foil shield could be used to protect the stepper base) to get the gear off.

Grinding it off would be easier (or even more easy is to buy a new stepper motor) as when you get the gear off, the shaft is round, so you need to grind a flat spot on the shaft anyway to make sure the dual extruder gear can be screwed on tightly.

If you cant see any grub-screw on the extruder gear, it's likely that it has been permanently press-fit onto the motor shaft. It is possible to remove the gear if you have something like a Dremel to cut it off, however, do note that it would be a permanent modification, and that your warranty (if you had any) would be void. If you do go this route, be careful not to Dremel into the shaft of the motor, as this would likely cause the new gear to not fit properly.

If this is a new printer, I would recommend assembling it with the stock extruder assembly first, and ordering a secondary extruder motor without the gear press-fit onto its shaft. Then you could swap them out and not need to worry about damaging the existing motor.