Someone lowered our shower heat a couple years back for an older family member. I've tried taking it off but its like there's no set screw at all. It's a delta series 1400. There are no other openings but the one in the photo.
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.