I agree with you in the argument that it is very difficult for you to know it is happening.
The problem is, you DO KNOW, or at least have been informed it is happening so you need to act.
Lets look at it a different way, lets say he commits a criminal act with a person that has contacted him through your site......he takes their money, defrauds them...or worse. The victim then finds out you were warned about him....what will happen?
If I was you I would be contacting him and asking for proof of a right to work, run a business etc.
Up to you, but having ran several large, across border, multi country websites myself for over 15yrs I would want to make sure my hands are clean