I went to the police station. It took a bit to convince then that we were serious because on one of the messages, it had knife emojis. But we finally did. The cops are going to investigate, and I messaged the person saying "I will not continue being harassed. I told the police. Have a nice day! :3" and they replied with "yah right. Someone like you is afraid of police, so why would you involve them?" And I didn't reply. Couple hours after that, I saw as the person started I delete the messages and blocked me before deleting our conversation.

I assumed the police made it to their home. So I think everything is alright now but I'm not too sure.