They're not threatening anyone. Their English is bad enough, you need to put some effort into reading the message.
The real message reads more like "We don't know what to do. Sony doesn't feel threatened enough to pay us, now we're clueless how to proceed".
I don't know how good North Korean intelligence is, but I hope they are better than the writers of that message. And even if it's been drawn up to look like it does, what would be the use?