If you decide you'd like to keep the name, then don't worry. These guys will have to get serious and actually follow legal protocol before even filing for any case. Such a case would be held in the high court, and this will cost them tens of thousands.
What they have sent you does not appear to be a protocol letter and if they do send you one, they must explore resolving the dispute amicably before they can file for a case. You will get at least 30 days after receiving a protocol letter to respond.
I'd check out what exact trademarks they hold and research a bit into case law surrounding this. Find out if they have a strong case, if they don't, I highly doubt they will spend tens of thousands on taking this to the high court.
Just my 2 cents, i'm not a lawyer.