Yes everyone should have the right to exercise freedom of thought and speech as long as they don't commit crimes. He shouldn't be arrested. Kept an eye on, maybe, I'm not actually making that argument either. I'm just pointing out that they should do their actual jobs (it's okay to investigate such a case, get a warrant from a judge, search around, keep an eye on the kid, station an officer outside said elementary school during school hours, patrol the neighborhood a little more, I'm sure there are a hundred other things that could have been done besides arresting the guy), not just arrest some kids for stupid comments.
IMO, if he had some credible weapons lying around, then at least you can charge him with intent after making a comment like that. You can threaten all day long, but if you don't have the tools needed to carry out that threat, then no you shouldn't be locked up in jail.