The threats they're getting are from their handlers, not the public.
They're not just trying to play victim, I don't think.
I think they're trying to let other politicians know that they're being threatened by their handlers. As if they're ringing an alarm bell - come help, come help! I'm in trouble, need help to get out of it. But at the same time if something does happen to them, like they come in to work with a black eye, they can blame someone else, I guess. Or, they're just doing it to use for a FF later.