Gently re-direct. If his messages suggest that he's decompensating, you might be able to gently remind him that he needs to take care of himself by working with his therapist and by taking his medication. Reminders that you know him and care that he does well and how much it depends on his following treatment carefully are all you can do. If it's really scary, say you'll protect yourself (and him) by reporting it.
Lay down the law. It is important to define what is and isn't acceptable from your point of view. You should not have to change your phone number because somebody does not take a hint. If you don't want to be romantically involved let him know. If you feel you are being harassed let him know. Lay down the law. He will appreciate knowing what the boundaries are.