Proxemics, the study of spatial behavior, is fundamental to social interaction and increasingly relevant for virtual reality (VR) applications. While previous research has established that users respond to personal space violations in VR similarly as in real-world settings, phase-specific physiological responses and the modulating effects of facial expressions remain understudied. We investigated physiological and subjective responses to personal space violations by virtual avatars, to understand how threatening facial expressions and interaction phases (approach vs. standing) influence these responses. Sixteen participants experienced a 2x2 factorial design manipulating Personal Space (intrusion vs. respect) and Facial Expression (neutral vs. angry) while we recorded skin conductance response (SCR), heart rate variability (HRV), and discomfort ratings. Personal space boundaries were individually calibrated using a stop-distance procedure. Results show that SCR responses are significantly higher during the standing phase compared to the approach phase when personal space was violated, indicating that prolonged proximity within personal space boundaries is more physiologically arousing than the approach itself. Angry facial expressions significantly reduced HRV, reflecting decreased parasympathetic activity, and increased discomfort ratings, but did not amplify SCR responses. These findings demonstrate that different physiological modalities capture distinct aspects of proxemic responses: SCR primarily reflects spatial boundary violations, while HRV responds to facial threat cues. Our results provide insights for developing comprehensive multi-modal assessments of social behavior in virtual environments and inform the design of more realistic avatar interactions.