put the the hex partof the arbor in a bench vise & use a pipe wrench on
the hole saw; you might have to give the wrench a smack.

Arbors that connect to the hole only with a screw thread tend to get
stuck. The better arbors had a sliding element with two egagement pins
that do the driving. They usually engage before the thread is
completely tight.

A drop of oil on the threads prior to assembly will help prevent
lockup.

cheers
Bob