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The female portion (that the **** screws into) is simply threaded. Sounds like the plastic **** has detached from the threaded shaft (male)? Can you confirm this?
Have you tried pulling up on the **** as you unscrew it?
If you have removed the other two *****, can you pry up the cover a bit and see what is going on when you turn the last one?
Can't think of anything else that might help you...