I didn't see the video referred to in the OP's posting.
But it's also important to note that "Threatening" someone is rarely a crime and that begs the question of what is a "Legal Threat."
Absent a federal issue, general crimes are proscribed by the states and there's 50 different ways of doing it. No state that I'm aware of has a statute that makes a simple threat illegal. And that's not by accident. A broad statute making "Threats" illegal would run afoul of free speech protections. For that reason, you're going to see very specific aggravating conditions being required in any state statute making the (aggravated) threat(s) illegal.
My frame of reference is California law, and California's "Threat" statute is found in Penal Code section 422. Here is the text of the statute:
"Any person who willfully threatens to commit a crime which will result in death or great bodily injury to another person, with the specific intent that the statement, made verbally, in writing, or by means of an electronic communication device, is to be taken as a threat, even if there is no intent of actually carrying it out, which, on its face and under the circumstances in which it is made, is so unequivocal, unconditional, immediate, and specific as to convey to the person threatened, a gravity of purpose and an immediate prospect of execution of the threat, and thereby causes that person reasonably to be in sustained fear for his or her own safety or for his or her immediate family’s safety, shall be punished by imprisonment in the county jail not to exceed one year, or by imprisonment in the state prison."
There are three specific elements beyond the making of the threat that must be present for the threat to become a crime: 1) Gravity of Purpose, 2) Immediacy of Execution, and 3) Sustained Fear (greater than an ordinary fear).
The District Attorney's office was really disinclined to file 422 charges believing that the section was overused by LE agencies. The generic arrest report would read "The suspect threatened to kill the victim causing the victim to fear for their life..." The filing DDA would typically ask "How was he going to do the killing" (impeaching the Immediacy element) and "What did the victim do to prevent the killing" (impeaching the Sustained Fear element). If the investigator responded that there was some reference to a weapon, and that the victim made the LE report because of the fear, a filing rejection would result because neither element was satisfied.
For a CCW carrier to make reference to their weapon is really bad form but it's hard to see it as being a crime unless there is more involved.