How should I respond to a worrying email from an ex student?
Campus police is in charge of keeping everyone on campus safe -- both from other members of the university as well as people outside the university. They're your first point of contact, and if the email can be construed as a threat, then they should take it seriously. If they think that they require help from outside, they will refer the matter to the city police. City police will, for example, be in charge of restraining orders that relate to your home, your SO, and everything else you do outside campus.

As for helping: As humans, we want to and should. At the same time, I don't think that you have a moral obligation, and certainly no legal one. The person is no longer under your supervision or care, nor do you really have any way to connect to the person: They're clearly not interested in listening to you.