if Cops will follow you or meet you there
The moment you reveal how he got the heads and the money (you gave them to him) it's NOT a theft, fraud, or robbery.
Let me anticipate the police response: "We don't provide bodyguard service, and you have no proof that any crime has been committed. It's a civil matter, we can't help you, you need a lawyer".

The most important thing to do now is to establish what happened (e-mails, not phone calls).

PayPal? Reversing the payment expires long before you know what he did.