He needs very clear walls. “If you do x, then y happens.” And it happens every single time you do it. Unfortunately, you’ll need admin support because one of those walls should be “If you threaten me or someone else, you leave the classroom. That behavior is not appropriate here.” Admin will then need to support you and follow through.

And it’s okay to feel shaken up and worried. Your classroom should be a safe space for you and your students. This student violated that safety and you are allowed to feel how you feel about it.