Questions:-
1) What should I do in this scenario?
If the threat persists, you may first lodge a police complaint and obtain an acknowledgment even if they dont take any action.
2) To whom I approach to save my land?
First approach police and then court with a private complaint
3) If I opted to file a criminal case, who will be the first party , either the dealer from whom we bought or the second party who illegally wants to take possession of the plot,based on mortgage amount which was very less than the value of the plot ?
The vendor has already handed over the property original title deeds to yo including the relevant or chain of documents related to the title of the property, hence if the third party troubles, then you may have to lodge a complaint against him only.
4) What type of case should be filed either criminal or civil ?
First criminal complaint and then a declaratory suit in civil court.
5) Out of both parties, who has more chances to win the case if filed, me or the second party ?
Since you have the original property title, you have chances for upholding your title.
6) During these days, what happen if they build boundary wall on my Plot , What should I do in that case ?
You should obtain an injunction order from court restraining him from doing any such thing.