I'm actually surprised it would be said directly to your face. Obviously psychopaths are different, but the person I knew was very smart and knew not to overextend their influence unless necessary, and was very careful not to self incriminate. Saying "don't mess with me" outright to someones face is risky, especially if it's overheard or recorded. My case was much more subtle, more of a "show of power" socially which nobody else would understand except me, given the recent confrontation.

To me, it's far more dangerous to confront someone who is a master manipulator and expert at knowing how to do so subtly and undetectably, versus someone who throws around angry threats. The latter is almost harmless, unless it's backed up by the former.