How do I remove the acrylic knob on my faucet?
It's in a splined (fluted) shaft and it pulls straight out.   It's common for them to be a little sticky.  

If you just leave it like that with the screw out (don't lose it) it may work loose from the stress of normal usage.  Let time do your loosening :) If there are a lot of threads engaging the faucet, you could try loosening the screw about halfway and leaving it like that.  Then it wouldn't come off entirely, just get sloppy.