Thats because the threat.lua seems to await a texture not a statusbar. Statusbars can be colorized with SetStatusBarColor, textures require SetVertexColor.
Try to do:
Code:
self.Threat:CreateTexture(nil,"BACKGROUND")
self.Threat:SetTexture(1,1,1,1)
self.Threat:SetPoint("RIGHT", self, "LEFT", -2, 0)
self.Threat:SetHeight(20)
self.Threat:SetWidth(10)