Tracker:
I agree with you that it sounds like a structural failure of the screw. You and I both have early-issue R9s, and your grip screws are probably the originals. As I recall, sometime in late 2006, Rohrbaugh began using grip screws made from a harder grade of steel than that used in the original issues. The primary reason for the change, I believe, was to reduce the possibility of stripping out the 1/16" Allen hex socket of the screws. In any event, the structural failure of that screw on your R9 could be due to a microscopic flaw in the steel, perhaps amplified by the effects of galvanic corrosion over time between the steel screw and the aluminum frame.
Removing the broken screw shaft shouldn't be too much of a problem with the right tools. It's a delicate operation, though, and unless I were able to "tease" it out by hand, I would personally want the factory or a talented gunsmith to perform the operation so as not to damage the threading in the frame. In any event, you will probably want a set of the newer screws.
Good luck, and please keep us informed.