You made a joke which crossed the line. You knew you were crossing the line. Putting the "joke" in two separate texts is what made it "funny" and also what made it cross the line.
The mod's response does not come across as a power play.
If you have any common sense, you will drop this.
Where can I report moderator abuse ?
You were warned for a good reason. Do not call people out. Publicly naming and shaming doesnt do anyone any good. If you want to submit a ticket please do it here - Mod.
https://support.chess.com/customer/portal/emails/new
I've read a few years ago this one likes to create issues where there are none and make power plays. I've now seen this first hand.
I know nothing will be done, I would still like to lodge an official complaint. Maybe it will matter in the future if there are enough complaints recorded.
Also, its not good for the community. This is not the tone the likes of Danny Rensch would set. Currently I am quite sure someone of his jovial personality would get warnings/banned too by some overzealous mods if his identity was hidden. There is quite a disconnect between what Chess.com displays through their media, and how some of their mods act in the game.