Unfortunately, it's you who is likely to be penalised if your buyer reports the feedback you left them to eBay. Sellers are not allowed to leave anything except positive feedback for buyers, or no feedback.
Did you report this buyer for feedback extortion? Agreed that eBay is very reluctant to change buyer feedback, but given the clear threat made by the buyer I would have expected them to remove it this time. If this threat was made using eBay messages eBay will be able to see it. If so, I would try again, and make sure you headline the feedback extortion.