it should still retract with the bleeder screw closed. was it sticking before? were you getting pulsation in your brake pedal? if so, then youre gonna need that new rotor/caliper/pads. Might be that your flex hose is deteriorating, causing the internal rubber to form a "flap" that can create a one-way "check valve" so that pressure can go one way, but not the other. so check your flex hoses, caliper and rotor. it could be either the caliper is bad, or a bad flex hose, both of which will destroy a rotor is left unchecked(the excess heat the dragging brake pad causes will cause the rotor to warp)