Well it is bad if this person actually knows your home (where you sleep) and your incall location. Most likely another provider who sees you as competition. They have spent some time doing research but with the internet, it's not as hard as before. I would take it seriously... as you have... I would step up all your security, just to be prudent. I would not destroy the mail... at least not until the threat is passed. Keep it & any future such in a paper envolupe. Despite what you see on TV, plastic smudges fingerprints.
The apparent purpose is to drive you out of business. Who would benifit? The inaccuracies make me think it is someone with only a superficial knowledge of you. Perhaps what might be learned from a client, then plugged into the internet.
There seem to be some providers who just can't behave properly & love the drama. I believe in KARMA, & hope it bites them in the arse.