...you did the right thing. And yes as the other poster said, word will get around that you are strict and aren't going to take any crap. You will reap the benefits of this.
It's the other nurses that I worry about. Why are they allowing this? And why is your manager telling you one thing and doing another. They are headed for trouble.
Kudos for staying late to document this. Document, document, document.
In my experience as well, only a small amount of inmates who threaten to sue actually do. The one thing that you have to think about when an inmate threatens to sue is "Does he have a case" or "what would happen if he did sue". If a situation comes up and you aren't sure of the answer to this, check your policies as this will usually help you decide what to do.
In this situation, you say there is a written policy that says wound care is to be done only at 0730...no other time. Well, let him sue all he wants, the policy is on your side. If appropriate, give him a copy of the policy or the guideline he was given that said wound care is at this specific time.
I wasn't there but from what you said, I would do things a tad differently. After you told him "no" to the late would care and he started raising a ruckus I would have said:
"Wound care is at 0730, you have already been informed of that. If you quiet down and regain control of yourself, I will give you a band-aid today, which you can apply yourself. I however will not be changing your dressing at any other time but 0730 which is the set time and which you are fully aware of. If you continue to be disruptive, I will have the officer remove you"
Always give consequences to the negative behavior and (only if appropriate) a chance at an alternative if they chose to behave.
If he tries to come back with "but everybody else lets me" and threatens to sue, just remind him of the policy. It really doesn't matter what everybody else does and in fact what "everybody else does" is the cause of this problem in the first place.
Again, you did the right thing