"Threat" is the very definition of your standard C&D that gets given to anyone as a warning. False accussations is something we can't verify and is possibly a matter of opinion at present. Either way false accusations are unrelated to hard legal action such as being sued. I've yet to see if this is anything more than "Dude, take it off your site, no more." Hard to really judge without getting more information from Sky.
SE have sent a C&D to a lot of sites in the past and this really doesn't come across as anything shocking to me.