By now you've already chosen whether to send your daughter to school. I hope you did. I also hope that the appropriate adults at school -- her teachers, the counselor for her grade, the school nurse(s) and probably whoever is head of Student Services (which in our school oversees counselors and student welfare) is already well aware that she is in treatment for anxiety. I hope that they have long been aware of this and you have long ago talked with them in person about your daughter's triggers and how to react to her if she starts to show signs of intense anxiety during the school day.
They DO all know about her anxiety and have been talked with about it, right? Because if she goes to school -- not just today, any day -- and starts to evince serious anxiety they need to realize that she's got a medical issue kicking up, and is not just being dramatic or "hormonal."
Now, as for the specific situation: Please, a thousand times please, go see the principal in person today and report what has been said about this boy. It will be kept anonymous. He may be intending nothing. But if something does happen and you had even an inkling of a hint of a whisper that he was angry and had said one word about shooting people -- imagine how you would feel, knowing that you had information that might have saved lives. Please report this. You can couch it as "this is from a girl my daughter knows whom I don't want to identify" and so on but you need to let the school know today, not in a day or a week.
And finally, this drama-queen friend needs to be separated from your child, period, for your child's own good. That is easier said than done, though. If they are good friends or even just "frenemies," you could end up making this girl seem more attractive to your child if you announce "She's bad for you!" and cut off all contact suddenly. The other girl will become forbidden fruit and will seem much more interesting to your girl.
I would start ensuring that your girl is simply otherwise occupied: "Sorry, Sally can't go to X with Jenny this weekend, we have some plans." Then DO have plans -- take your daughter to new places and do family things with her as much as you can, because she needs distraction and new experiences outside her own head and her own anxieties. And so on.
If the girls share classes: You can't do much about that but you can quietly ask the teacher(s) to ensure that your daughter and this girl are never paired on projects or in class teams for events, etc. Yes, teachers can do that, though you should ensure that your daughter does not know you've intervened behind the scenes. And if they are in something outside school together like a group or organization, you might need to reconsider that, or talk with the adult leader about keeping them from always being on the same project etc.
And social media can be a real minefield for a kid with serious anxiety. Is she on it and is that how this friend communicates with her? Do you limit or look at her social media activity? Might be a moot point if that's not really huge for her.