Yep work harassment. Not even a maybe.
If some edgelord employee sent a picture of a gun to someone with no context, HR will file it under threat. The edgelord won't get in serious trouble, but would be warned about that since it's vague and can be anything from showing their cool gun collection, to threatening to shoot.
Now a video of actual murder... You better believe thats harassment. No question about it. Immediate removal.
And as the comment above - if he's sending that to you, he absolutely will be sending nasty shit to your other coworkers, especially to those who can't speak up or are too afraid.