It doesn't seem sensible to intentionally reward such threats :-) I'd consider the threat completely legitimate in Diplomacy, and an intended part of the game, but I'm not so sure about Settlers.
@JoeW: consider a player who says "I will king-make against anyone who obstructs me in the early game". If people re-evaluate their playing style so that this player doesn't want to keep them from winning (i.e., if they avoid obstructing that player early in the game), then that player gets an advantage from making the threat. It doesn't seem sensible to intentionally reward such threats :-) I'd consider the threat completely legitimate in Diplomacy, and an intended part of the game, but I'm not so sure about Settlers.