DISCLAIMER: This is not legal advice. I am NOT a lawyer in any way. I don't play on TV and the only legal training I have is from annual corporate compliance and regulation courses which definitely do not include "Sugar Law."
Let's start at the end: Should you keep these docs as a hedge against blackmail?
Having said that, it seems like this needs a nuanced approach. My thought is to keep anything that may incriminate her; threats, demands, questions/convos about contacting your ex, kids, friends, etc. If she ever reappears with renewed threats, go to the police. If you are going to be outed anyway, better to own the message with your family and bury your embarrassment when you ask LE to start a felony investigation. You won't be the first guy they've seen get blackmailed by an estranged woman. Everything else; burn it (ok, delete it). However, know that deleting a file, email, pic etc. off your device (phone, laptop, etc.) will not delete it from any internet channels that that data travelled. Your sent and received emails and attachments are likely recoverable from your email service - IF - anyone has a legit reason to look for them. Fortunately, the only legit reasons are if you specifically ask, or if LE obtains a search warrant signed by a judge.
Next: This lookback at your past experiences makes for a good lesson on living in the Sugar Bowl. I've heard people who are not in this space refer to any SD as a simp. That's just not true. But there is a learning curve that can pass dangerously close to simping. You have completed that journey and arrived in a good place. We can all learn from your experience. So thanks for sharing this story.
Life is good
The Cat