My DB had a similar situation to this OP and in the nicest possible way to is better to try to take the emotions out of this and focus instead on practicalities. It's unlikely the police will view this as harassment unless there is strong evidence it were on a number of occasions and that contact involved a threat. Unless she has directly implied or stated she will try to take her back, no threat has been made and it would likely be a civil matter. I would just call 101 for advice, no need to visit a station as you can call your local constabulary anyway. Especially as no crime has been necessarily bee committed yet even though this person is upsetting you.
Microchipping details aside I would seek to establish further evidence that ownership was exchanged- any emails etc from pre loved would help- screenshot any messages from this person and any/all calls from her associates and print them.
Emotions run very high when it comes to pets and clearly hers are as well as yours. If you are worried she knows where you live I don't think sending the police round is going to help you there tbh, I would suspect animosity will be far worse afterwards in fact. The police may well contact her but a police caution or warning is quite different matter and would require evidence of crime or behaviour the police deemed a minor crime.
If you have contacted her and stated the dog is legally yours and the paperwork supports that. You have no interest in selling the dog back and do not wish to be contacted again/will contact the police immediately if she is seen in the boundary of your property and don't hear from her, that's worked surely?
Changing your number is wise but you can't change your address. As I say, we had a nightmare with this. It takes an awful lot to prosecute for harassment and uphold a restraining order and the police were very helpful but clearly have better things to do than deal with civil disputes. How horrible she was or not to the dog or you, how much the dog loves living with you or how lovely she is or how much you love her compared to them isn't their concern or remit and I say this as a huge dog lover who loves my own to pieces. When DB got a court ordered restraining order they just sent their friends over and you are back at square one.
I hope you are able to get some advice from the police nonetheless, hopefully the notion of police involvement is enough to deter her anyway, I'm sure it would most people. Pre loved never seems to be a thing but trouble when it comes to pets.