In this particular case, it was no big deal. The guy threw a little hissy fit, blew off a little steam and it ended. Two PMs to me, and I responded to both. Had he continued, I was going to warn him that I'd report him to the mods.
In the general case, I'm not concerned. I think this is the only time I've received rude PMs, and I have no feel for how big the problem is overall. If a lot of people are having problems with this, then perhaps we could allow people to choose who is allowed to PM them (with the proviso that mods can PM anybody), if the forum software supports that level of control.