I don't disagree that it's a threat. But that threat is always there anyway. We prefer the democratic process because it's less destructive than regular, bloody power transitions. A guillotine can be seen as a reminder for why we have democracy. So in a way it's a pro-democratic symbol as the threat is there to enforce democratic norms.

The threat only becomes misguided if you're wrongly under the impression that democratic norms have been violated and thus you're threatening legitimately elected officials.

Think of it as a prisoner's dilemma. Perfectly rational or virtuous prisoners might cooperate out of their own volition. But even very selfish prisoners might be convinced to cooperate if they repeatedly get reminded of the grisly outcomes that happen to defectors. We might prefer the former (virtuous actors) but if we can't rely on everyone being like that then encouraging good behavior through threats is the next best option which is still far more preferable than the worst possible equilibrium.