My parents (68 and 70) both have social media accounts... but neither actually understand how dangerous (in the wrong hands) the Internet can actually be. Sometimes, I do think that they believe there are little men inside of their computer running around finding all the information they want to look up... 
You want your parents to say "we understand how scared you are" and "we'll make sure you're safe" - because, at the end of the day, they're your parents. That's their role in your life... I understand that. But you're also an adult, who has a child of your own. I wouldn't mind betting that somewhere in their minds, your parents are thinking "oh, she's a grown up mother now... our job is done!" 
Sometimes, our parents fail us, because they compare us to them at whatever age we are... and they find us lacking, maybe. My mother was married at 19 and regularly slings that at me as a badge of honour. I was 19 when I became a single parent, so that left me with more responsibility than marriage - but she won't view it that way, and I've given up saying "at 19, you were playing house and travelling the world... when I was that age, I was knee deep in nappies and caring for a baby with special needs, whilst terrified her abusive biological father was going to hurt her just to get back at me for having dared to leave him!". There's no point. Their view of the world is fixed, I'm afraid, and nothing we - their children - can say will ever change it.
You're safe. You've reported it to the police. Hopefully that's an end to it (I hope so, anyway). But learn this lesson: don't rely on your parents for support, because unfortunately, they seem to think their job of raising you is done...