It would be better you report the user who sent you such pm to the moderator so that he wouldn't for any day reason to send you such pm again or if tempo ban is issued to him after the restrictions he would never think of sending out such pm to any higher profile user here again.
If you do not want someone to send you PM anymore, you can go to Profile -> Personal Message Options to add the user to your Ignorelist. Once the user has been added to your Ignorelist, the person will not be able to send you personal messages on this forum anymore.
About reporting the person to a moderator, I have gave my own opinion, it is highly unnecessary and the person will not be banned because he did nothing against any of the forum rules.