I caught someone in discord selling Meseta, how do I report this guy directly to SEGA? I have his discord user and his character name.

Send in a support ticket from this website. you will be able to include all information.

Sega probably won't do anything for information from Discord

You need to make sure it is the same guy in discord and ingame, otherwise if he is just trying to frame someone or joking around he could get someone else banned. But I suppose Sega won't act on such evidence anyways which is a good thing.