Hmm, well first of all, I suggest you remove your very helpful option regarding cheaper shipping methods from all future listings - frankly there's too many of this sort of person out there to take the risk - choose the shipping method that suits YOU, and stick to it.
Now, I don't know how much feedback you have, or how good it is, but bottom line this idiot will be able to leave one for you, and yes, it'll probably be red. You can then also leave negative for him, and also a comment against his feedback for you - both times you politely (remember, future bidders will read these) explain the bidder refused to comply with your auction policies.
I think it's unlikely he will send emails to all your future bidders, at the end of the day that's likely to be a real PITA for him to keep doing.
But what I don't understand is eBay's response, because I would have thought that such threats are against their rules. Still, eBay? Go figure huh?
You have invoiced him, he either pays, or he doesn't. If he does, send it, if he doesn't, go into the non-paying bidder process (and keep all the emails he has sent you!).
And if he does ever cause someone to retract their bid (which if you monitor carefully you should know) email them yourselves, ask if there was a particular reason they retracted, and ask if there is anything you can do to help, and if they say it was him, get them to send the email onto you.