I'd report him. As far as I know, such mails should be reported. That is at least spamming, if not disallowed behavior imposing such threats.
You didn't do anything illegal, unsportsmanlike or anything else.
Bidding on a player of oneself is so bad if you get the player (AFAIK he is treated like a new player afterwards which imposes trading restrictions and higher fees for next selling)
For short: I'd report him.
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