How do you know if a lender is unlicensed?

you could search the NYS incorporated entity database: http://www.dos.state.ny.us/corps/

my advice to you would be as follows:

1- send each PDL company a letter (or e-mail if they have no address) stating that:

a) They may no longer debit any account of yours ever again (this is a legal right)
b) They must send you a written statement of charges (legit financial companies are required to maintain records. Any legit company is also very willing to send you a bill.)
c) You will pay any amount legally owed but will only do so via paper mail (check, cashier's check, money order, etc...) and after receiving (b)
d) They may no longer contact you by telephone.

2- after completing (1), ignore/block their number(s), ignore their e-mails and keep track of you bank account balance. If they debit your bank account (even once) after having the time to read your correspondence, close your bank account and disregard them forever.

3- ignore threatening calls from people claiming to be collection agencies unless they mail you a letter within 5 business days of first contact (real collection agencies are liable to you for up to $1,000 if they fail do this)