yeah, that chick needs to be removed, that hen is confused by the chick hatching, instinct told her to set on the egg and what to do, but the chick itself has her confused. It happens with first time mamas sometimes, or else she's letting other hens pick on it because she's not sure what to do with it.
I've been lucky with broodies, most have been great after the hatch, but I had one young hen was a failure as a mother. Get him and any others that hatch out and put them in a brood box with a lamp and raise him yourself.
If you can tell which hen is being the bully you could just let the other one try, but since that chick is already bloody, he's probably doomed ... I'd take all their chicks this time and let them try again down the road. they're usually calmer the second time.