In rough order of inconvenience / cost -

1. do nothing. It still seals and the caliper works. You can change pads etc without needing to undo the bleed nipple.

2. Leave the broken bit alone and replace the hose banjo bolt with one fitted with a bleed nipple. You can change fluid etc by bleeding through that. It's a bit awkward but you can do it.

3. Try removing the broken bit with an Easy-Out as Grant suggests (my success rate with them on stuff like that isn't great). You may have to add some (quite a bit) heat so then the caliper will need to come off and the piston / seals removed (replace the seals with new). If the easy out snaps off in the hole it's probably going to need to be removed professionally.

4. Take it (or send it) to a professional. People are doing this with car calipers all the time. They'll have a range of options from drilling it out upwards. Check out YouTube videos for how to do it if you've got a workshop full of equipment.

5. Replace it with either a secondhand one or a new one. If you're looking to buy a new one probably best to sit down first before you look at the sticker price. You really shouldn't need to get this far as it's not that big a problem and easily fixed, but the fix may take time, particularly if you need to a. find and b. sent it to a professional.

So, on the 'screwed-ometer' it's only a 3 out of 10. It's annoying and may cost a bit if you decide to fix it (rather than ignore it). Unless you know what you're doing though I'd suggest you don't try to drill it out yourself. There's fine threads and a sealing taper at the bottom, underneath the broken part. Damage either of those and a professional fix suddenly becomes a lot more expensive.

On the 'I told you so' front, you've probably worked out now they don't need to be that tight. Just tight enough to stop fluid seeping round the taper seal. Hard to give numbers but once the cone seats (you'll feel it) it's not much more than is needed to stop it vibrating loose.