You want to be very careful here. My advice is to bring your concerns to your chair first for advice on how to handle it. You don't want to go over anyone's head or ruffle any feathers. Take it from someone who's been there. In 1994, when I was adjuncting, I received a hand-written death threat from a student. It contained the words "I want to kill you" and featured a drawing of a handgun with bullets coming out of it. I took it to the Dean's office first. I should have taken it to my chair and let him handle it. The Dean became outraged at me for bringing it to his attention, complaining that the college now had to spend extra money on this student for a psych evaluation. The situation was resolved, or so I thought, when I was forced upon threat of firing to shake hands with the student in front of the Dean, and apologize to the student for "misunderstanding" his little note. Subsequently, my chair scheduled me for courses the following semester, but the very next day after I turned in my final grades, I received a letter from the Dean informing me that my services were no longer needed. The bottom line is: don't go this alone. Make sure you have your chair or some other authority figure on your side.
There's clear a set of pathologies at play here, and your Dean's is the one that concerns me most. This is pre-Va Tech, of course, so no sane dean would ever react like this. But even a dope would know better than to bewail the idea that they need to get some psych help to a student who made an overt death threat, because we know that one cannot predict their capacity to carry out the threat. I agree that going through the chain of command is the best policy. And your dean was a dick.