What to do about this message threat?

Use the steps here:
http://xbx.lv/1TYKjXt
to report the user on Xbox that is the best way to let the Enforcement Team know about them.

If you haven't done so already, you would need to file a complaint on them via the console in order for the enforcement team to investigate them. You'll also want to block communications with them.

Dude. I said that whoever sent him a message just wanted to get under his skin and make him squeal for mercy. Not to let the person scare him. I didn't state I have the demo, so don't be pointing any finger. The point I made wasn't about the demo, but about
the guy who messages him. If he did do anything. They won't tell him as a threat in the game. He will just try signing in and it won't let him. That's how he will find out he was banned. Not by some dude threatening him was my point. What does that have anything
to do with demo or full game? So what he mentions demo, while I have full game. A threat is a threat whether demo or full game. That's beside the point.

here is the DDoS FAQ https://beta.support.xbox.com/help/hardware-network/connect-network/dos-attacks-faq

this explains how they booted your friend offline and what he can do.

if they made threats about booting your friend over Xbox messages or Chat then you and your friend can report those messages

how does what you have stated have absolutely anything to do with the OP statement, he is on about detecting a known threat which has absolutely nothing to do with ports.

The firewall is blocking this threat from passing though, and in this day and age you should not have to port forward anything.