From an administrative point of view, why jail the passenger when the passenger can just be shipped back to point of origin? The aggressive words may have been enough to deny entry but not enough to go through the hassle of actual arresting the passenger.
And from the standpoint of the pilot, a passenger who is intoxicated enough misbehave at immigration and be denied entry is a passenger whose judgment is impaired and may continue with the bad behavior on the plane.
The passenger sounds lacking self awareness if wondering why the captain did not want him on the plane.
What a mess.