Removing stuck faucet handle
If there is a set screw that holds it to the stem it is very likely (but not 100% certain) that it pulls directly off. You have soaked it with some penetrating lube, now try gently tapping it from various angles to loosen it prior to re-attempting to pull it off.

If this does not work, purchase (or fabricate) a "faucet handle puller". They exist because your problem is fairly common: