This forum software is somewhat old now that software such as Xenforo has come to the forefront. In any software, much depends on how the software is toggled behind the scenes. It's been a while since I was in a position to flip the switches on vBulletin, but you might find that blocking the user will prevent DMs. I almost hate to suggest that, because you've probably already blocked the user...

At any rate, I'd be happy to participate in an experiment to test that idea.

As for blocking all DMss, isn't there a toggle in the User CP to accept DMs only from moderators/Admins?

ETA: There are several options related to DMs.