I could not get the set screw out of a Moen bath tub single turn handle with an allen wrench. I drilled it out with 5/32 bit follow by a 7/32 bit. The drill bit went through and out the other side. Moen handle will not come off. What is holding the handle on faucet?

Can you post a couple of pics of your faucet handle?

Try rocking the handle, you may have drilled out the set screw but metal burs could be holding it. Rock it or use a handle puller. Ace® Faucet Handle Remover / Puller - Plumbing Tools - Ace Hardware

Chances are you'll need a new handle. Here's some useful information.
Call: 1-800-BUY-MOEN (1-800-289-6636)
8:00 am to 8:00 pm Monday through Friday
8:00 am to 6:30 pm on Saturdays EST
Closed on Sundays and all nationally observed holidays.
To contact Moen Canada call: 905-829-3400

Good luck, Tom