I would class this as a threat, but very unlikely if anything was to happen. I would advise you contact your local police with ALL the e-mails that you have, if they have any personal information on you.

The scammer would have set up something like this:

1. The cheque they sent you would have been more than they were supposed to send you. They would ask you to refund the difference via Western Union, then the cheque would be returned as fake.

The money they want you to pay would probably be a release fee or something like that. Obviously the scammer knows the cheques are fake and so he asks for the release fee thinking you will oblige by sending it before his cheques arrive. As they have arrived, he is claiming you have x amount in your account, knowing full well that you don't.

DO NOT PAY!

Cease all communications with this scammer and delete all mails from him without reading them. When he realises he isn't getting anything from you, he will drop you.