I tell him that I assumed he understood that this was what would happen, since I've let the rogue one-shot people who she's suck up on, since have your throat slit has similar effects to getting shot in the brain

You have established that, outside of initiative, in your game, doing something that would clearly kill someone can lead to instant death. This is a reasonable houserule, and I do this myself from time to time.

"Dude, if you don't do this perfectly, you'll get shot in the head."

This to me pretty clearly communicates "If you fuck this up, you're going to die."

The player shrugs. "I know. What do I have to roll?"

This likewise seems pretty reasonable. You're playing poker with imaginary chips -- sometimes I put all my chips on black because fuck it.

So, at this point, if a similar set of my circumstances happened at my table, my players would be browsing my mini collection deciding what they wanted to be next. But hey, perhaps you just weren't quite explicit enough for him. That happens.

when I offer to just go back and act like the whole thing never happened because it was a simple misunderstanding, he actually quit.

So, you recognized that this was a misunderstanding in communication because you weren't explicit enough, you offer to unwind it so you can better communicate, and the player still quits? You learned it's probably better to say "you'll get shot in the head and instantly die" to make sure everyone understands the stakes a bit better. But I wouldn't say you were in the wrong.

Instead of assigning blame, I'd say you and the player are just looking for different things. You want a gritty game where a crossbow bolt to the head kills you. The player wants a power fantasy where he can attempt to disarm someone who is ready to shoot him in the head with little consequence for failure. Both of those are fine, but it's better to be on the same page about what everyone's expectations are for the game.