You didn't do anything wrong per se. But by offering a free-to-use relay anybody can abuse it to send countless spam DMs.

If you block the scammer, he could easily create a new account and spam you once more.

But if it costs a bunch of sats everytime the scammer tries to send you a DM, they would maybe move on to other 🤑...

Amethyst allows to block DMs of each relay if you want to. That's what I did here. I only allow DMs from paid relays. Everybody else has to try and contact me via public notes.