It seems that mild threats, introduced relatively late while immersion is strong, might be effective against some people. Strong threats, in particular threats which pattern-match to the sorts of threats which might be discussed on LW (and thus get the gatekeeper to probably break some immersion) are going to be generally bad ideas. But I could see some sort of (possibly veiled/implied?) threat working against the right sort of person in the game. Some people can probably be drawn into the narrative sufficiently to get them to actually react in some respects as though the threat was real. This would definitely not apply to most people though, and I would not be shocked to discover that getting to the required level of immersion isn't humanly feasible except in very rare edge cases.