An incel PM on Discord is a pretty shitty thing to deal with. First off, the incel is probably not even who they are saying they are. Secondly, they are so paranoid about all the stuff they posted online that they would never be genuine with you. Thirdly, they probably are just trying to annoy you. Incels outside of Discord are a bit better.
Discord incels tend to be relatively sadistic. There may be a correlation between this sadism and how many hours Discord incels spend playing videogames about shooting people, running armies etc.…
Message history and images are not saved by Discord itself, so some detectives join Discord just to document what others post. “Infiltrating”, an incel Discord room would be quite boring thought as incels are not actually violent or criminal.