If you pause to make that threat to a vampire, it can probably kill you or escape. They move too quickly for humans to handle. If it can't actually escape, it can probably get a hostage or three so if you set it on fire or attack it with sufficient blunt trauma, an innocent human dies. If the only people around are the folks holding the burny weapons, and those weapons have enough range that the vampire can't get away from where they'll shoot within the human's reaction time (i.e. if you have a circle with a radius of a football field or more ready to go up in flames the instant the vamp moves), well, then you have a credible threat, but how do you transport the vampire to your steel cube without relaxing those conditions?

The steel, btw, doesn't have to break when the vampire hits it. The vampire could just claw at it and tunnel through.