I’m not trying to refute your concerns here, but from what I’m gathering here it sounds more like he has personality issues than poses a real threat. Tell him point blank that you received that “joke” as a threat and will call the police if it happens again. And actually follow through.

Don’t put this on someone else like the store owner to handle it for you. It should be the store owners responsibility to maintain a civil atmosphere, but he’s not going to go any further than the doors of his store. If this person’s statement makes you this uneasy, then you probably feel there is some level of validity to it.

Be confrontational. Behavior like that is unacceptable and sometimes the only way to resolve issues like this is to firmly state that you will not tolerate it. I’m not saying to hurt this person or berate him, I’m saying you need to tell him “don’t fuck with me”.