This shower valve doesn't seem to have a set screw and i need to take it off
One of those holes in the lever is clearly for attachment (probably the one closest to the wall). Originally there was a hex set screw inside the hole, tightened to hold the lever onto the valve shaft:



So, your first step is to see if there is still a set screw in there, and if you can loosen it with a hex wrench.

If there really is nothing inside the hole, then the set screw is gone and the lever is being held on by friction and/or corrosion. This means that you'll have to use persuasion to get the lever to come off. Tapping (lightly) on the hub of the lever with a metal hammer might loosen things; using a screwdriver as a lever might also work. If you can get the bezel off by taking off that Phillips-head screw (and its likely partner on the other side) it could help.

Warning: too much pressure and you'll bend or break the valve, possibly causing a flood. How much is "too much" is a tough question; you might want to turn off the house water before you do this, and have a plumber on speed dial Just In Case.