I had a similar problem on my 98 626 (except it was the rear caliper) about a month ago. My uncle did pretty much the same thing you did, except the one thing that stood out was: he cleaned off the caliper pin (peg) and coated it with high temperature grease, then he swung the caliper up & down working the grease into it. We originally thought I was going to have to buy a new caliper for the rear, but somehow working the caliper back and forth did the trick.
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