I really feel for you and your fiance.
I would agree that this kid needs help, but he also has to learn that you cannot just THREATEN people like that. It's just unacceptable behavior, no matter what his own situation is like. Don't get me wrong, I feel for him, as well as the other children at your fiance's school. But it's just not right. Just my opinion of course.
As far as your legal rights, I have no idea. Beyond contacting social services (because clearly he comes from a terrible background if he is threatening a teacher and you, someone that he doesn't know) I honestly couldn't tell you. And even if you two put him in contact with a therapist or social services, neither of you have control over his fate. I don't think that anyone wants to punish him, they just want to help him, just like you do.
I wish you and your fiance the best of luck. I am so sorry that you are going through this.