You may not have a choice but to tap on the collet with something to get it out. If that's the case don't use anything sharp that can dimple the collet. Use a pin punch or piece of hardwood and tap very gently while rotating the shaft around so that you tap on all sides. Be patient, it may take a few minutes. The heat trick might help too. I also think that the collet nut was tightened down with no bit in the router. Never do that.
By the way, welcome.
Someone I consider a master woodworker once told me that a master woodworker is not someone who never makes mistakes. He is someone who is able to cover them up so that no one can tell.