Considering this person's rude behavior to you, I agree with your husband that you would probably be safer not confronting him face to face, or at least not alone. To me, his continued loud music and thumping around is disrespectful to you, not your requests toward him. I'm not usually one to take things to the next level, but I would talk to your building manager about it and if he continues to behave this way, call the police. Seriously, it's not taking revenge when you have legitimate reason to believe this person could harm you (and by your description, he sounds like he's being unreasonably angry and persistant in his behavior).
You say perfect love casts out fear, and this is true, but to me we experience fear for a good reason. Don't let your anger and frustration at this man tempt you into sinful thoughts or actions, but your fear of him does not sound unreasonable. I agree with your family that the next time he acts this beligerent to you, you should call the police. I'd first call your apartment manager or whomever supervises your living situation, though, since they also need to know if one of their residents is becoming a problem. Explain to him what has happened and that you don't feel safe and that if it continues, you will call the police.
By the way, don't feel bad about being a hormonal pregnant woman. Once you have your baby, you'll probably feel even more protective of your home and family than you do now. I think if this guy had said the same thing to me or threatened my husband or daughter, I would have a hard time not snapping him in half in a fit of mommy rage.