@cookiemon I would report this to the police. Document everything. Dates, times, messages, who you spoke to. Bring the police in to the gym so they can give the cops the guy's full name and address.
Seek out a restraining order. They probably won't give you one, but I'd try.
Then report them to the franchise, using the official police report.
The manager is probably friends with this dude or in on it somehow. There's no other reasonable explanation for his lack of care, refusal to call back, refusal to properly investigate, and unwillingness to put anything in writing.
Escalate, escalate, escalate.