The scratching around the ignition cylinder is definitely something that needs proffesional inspection regardless of whether you file a police report or not. Even though the bike still fires up, forced entry attempts like the ones you described usually mean the cylinder pins or tumblers have been stressed or bent. If the perpetrator was trying to use a thin tool to bypass the lock, they likely impacted the internal components more than just the outer casing. You risk having a key that suddenly won't turn, or worse, a grinding noise that eventually leads to total cylinder failure. Nine times out of ten, once the metal is scored that deeply, the internal tolerances are compromised. Regarding the police, since the bike was moved, visibly damaged, and you received threatening notes, this crosses the line from a simple prank into property damage and attempted theft. You should report the incident to them. They might not recover the bike in the same hour, but the documentation of the incident establishes a paper trail in case that bike gets stolen later, which gives you leverage with your insurance company if you decide to file a claim for the damage. As for riding it or taking it to a shop, I'd strongly lean toward the shop first. While it’s running now, the engine and ignition are linked. If the thief accidentally bumped a nearby wire or caused a minor short while poking at the cylinder, the next thing you know the fuel injectors might start acting up or the electrical system could decide to give up entirely. You want a mechanic to at least inspect the wiring harness immediately surrounding the ignition before you put miles on it. They can verify that no shorts or damage were done to the starter solenoid or the ECU. If the shop confirms the cylinder itself is fine, but it's cosmetically ruined, you can decide whether you want to replace the cylinder or just live with the cosmetic damage. However, if the pins are bent, replacement is the only long-term solution becasue you can't really repair those internal pieces yourself.
This sounds frustrating, but treating it like an attempted theft makes the most sense for your peace of mind.