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I see what you're saying (I hadn't realized the extent of the problem - sorry) and I agree that just sitting back without taking some action is probably a bad idea. Death threats are very serious and shouldn't be ignored. I can't in good conscience advise you to ignore the threats and not call the authorities. Too many tragedies occur that way. Thus, I think you did the right thing.
Encouraging your husband to see how scared it makes you for you and your children may help his protective side to kick in. Otherwise, you may be alone in reporting the behavior. Regardless, you are correct in that it shouldn't be allowed to go on. My next step would be to get a restraining order (I'm surprised your husband's boss hasn't done it already)!
Additionally, if your husband continues to refuse to stand up for you and your kids, he has effectively chosen which side he wants to be on. Though painful, it isn't a message you can afford to ignore (for your own safety and the safety of those you love).