I would take the most cautious route; you don't want to damage that copper stub-out pipe the spout probably was slipped on to.
I would assume the worst and presume you have a set screw in there that you can't see (or maybe the screw broke so you can't see any hex). In either case, if the spout doesn't slip off, then presume the set screw is still gripping the pipe, and break the spout away around the pipe.
If you twist on that spout with a pipe wrench, an unseen set screw could end up leaving a deep cut all around that stub out pipe, and that's not good news for you. You're a lot better off cutting away the plastic of the old spout with a hot soldering iron (or whatever) than having to fix or replace that copper pipe.
Here's an excerpt from a post I wrote several months ago to a guy in Scotland that wanted to replace his existing tub spout with one that would accomodate a hand shower. I think it'll be of interest to you:
"Look on the bottom of your existing bathtub spout right near the wall and see if you can find an opening. If there's an opening at the bottom of the spout, you should find a set screw inside it that's holding the spout on. If you find such a set screw, then you have a "slip on" spout, and you remove it by loosening that set screw and pulling the spout off of a short piece of copper pipe sticking out of the wall. If there is no opening, you remove the spout by unscrewing it.
(I have never seen a spout with an opening, but no set screw. If there is an opening, I'd presume there's a set screw that's broken, and only the point is sticking into the copper pipe.)
If you have a slip-on spout, then phone Moen customer service and ask if they sell a diverter spout identical to the Moen 3931, but with a hand held shower attachment. Alternatively, ask if they have a "screw on" spout identical to the 3926 with a hand held shower attachment.
The Moen 3931 has three features that make it superior to every other slip on spout I know of:
1) It has a "cup seal" (aka: "cup washer") in the diverter gate that "inflates" with water when you pull up the diverter. As the cup washer inflates, the front of it pushes against the end of the copper supply pipe so that NO water leaks out and the higher the water pressure, the tighter the seal at the end of the supply pipe. That is, it uses the water pressure itself to seal off the end of the end of the pipe the spout is mounted on. Preventing water leakage out that pipe ensures ALL of the water comes out the shower head, and that ensures you get the best shower performance. The 3926 is the same in this respect.
2) It has a "yoke" which clamps around the copper pipe rather than a set screw that just tightens up against the copper pipe. This yoke distributes the tightening force much more uniformly around the entire circumference of the copper pipe, thereby greatly lessening the liklihood of damaging the copper pipe with the set screw.
3) A "repair kit" for the Moen 3931 is available free of charge from Moen in case any of the moving parts on the spout ever need replacing. Just ask for Moen Part # 10644. (it also fits the 3926)
Product detail: 10644
The above web page says the suggested list price on the repair kit is $11.65, but if you phone Moen and tell them the cup washer on your spout is torn and leaking, they'll send you a repair kit free.
If you see Moen diverter spouts for sale in your local hardware store, check to see that the name "Moen" is molded right into the plastic the spout is made of. If you don't see that name, then the spout is made offshore (in China) and doesn't have that patented "cup washer" in it, and won't work as well as one that does. That is, lots of water will spill out the tub spout when you're having a shower."