Ok. Firstly, there is every reason for you to inform the Police. If you want to start making a record, then reporting each and every incident (whether you have 'proof' or not) to the Police is a damn good start. Even if they don't do anything right there and then, or can't do anything, it starts to build up a paper trail should, God forbid, he ever act out any of his threats.
Diarise (sending an email to yourself of each incident is a secure way of doing this and it time stamps the record.. set up a new web-based account for this and let someone you trust completely know what the address of it is and the password, should it ever be needed as evidence and you can't access it) and tell your D.V counsellor. Have them record it in your file. Again, this builds up a trail of reporting incidents.
So that's the recording taken care of.. now what about taking care of your well-being. I'm worried for you because I don't think you fully realise that you are in a dangerous situation. He has made threats on numerous occasions, all of which involve doing you serious physical harm or resulting in your death. This is serious. I know you don't think he will turn up to your home, but you really can't legislate for a man whose mind wishes serious harm on you. He is NOT stable. Please, please.. NC and keep yourself safe. If you can, block his number or have every call go to voicemail at the very least. If nothing else, his continued threats and harassment of you just serve to keep you in a place where you feel unable to do anything.. powerless. Time to take back that power.
Tx