There will still be the regular Friday money post, but I needed to comment on this thread.
Sexual harassment is a crime. You should never hesitate to report it, especially when statements become borderline threats against your family.
I find it sad how mistrusting of HR so many people are. Yes, there are not great people in HR, just like there are in every position in every company. But there are also good people in HR, and since protecting the company really is part of their job, when it is possible the company could be legally liable, they will act.