I would pm them back and ask them to clarify precisely what "getting escalated" means? if they say they will blacklist you well then there is little you can do about that, however if they are actually threatening you then submit a customer support ticket via the market site and report them to the admins. They can then review the message logs and decide if action is warranted. Personally if a vendor threatened me to change my honest and genuine feedback I would tell them where to go.