The use of Laser Powder Bed Fusion (LPBF) for additive manufacturing of metal-bonded diamond composites is emerging as a significant and challenging issue, particularly in the fabrication of structured abrasive wheels suitable for precision machining in aerospace, defense, and military industries. In this work, the LPBF process parameters for a new composite of Cu38Ni34Fe13Sn10Ti5 high-entropy alloy and Ni/Ti dual-coated diamonds were optimized based on mechanical performance and interfacial reaction considerations, and fabricated structured abrasive wheels for performance evaluation. Results indicated that the parameter combination of 120 W laser power, 1600 mm/s scan speed, 100 μm hatch spacing, and 30 μm layer thickness achieved superior forming quality and high mechanical strength. The formation of TiC interfacial reaction layers between diamond and the metal matrix was experimentally confirmed. Friction wear test demonstrated the composites' excellent self-sharpening capability, which is critical for diamond tools. Normal and porous structure (named Nor-Str and Por-Str) abrasive wheels were successfully fabricated, with Por-Str exhibiting significantly lower grinding forces and thermal accumulation. These findings establish a technical foundation for the additive manufacturing of diamond-metal composites and the efficient fabrication of functional abrasive tools.