People who actually intend to harm you don't tell you about it, especially not in public. They just do it.
Threats in public are designed to make you feel fear. Even if you know that the threat is empty, it's difficult to just put it out of your mind. As is the case here: Matze is almost certainly in no danger. But there is still a chance, so he hides from it.
In a better world, we'd prosecute everybody making violent threats, and that would be the end of it. In practice, practically none of these threats ever turn into violence, and law enforcement organizations generally ignore them. They'd be overwhelmed if they didn't.
In this world, having the death threats removed does, in fact, make me feel safer -- because the threat itself is the primary harm. It's often possible to remove the threats before I see them, by looking closer at the users who make them. Even if they can't remove it before I see it, leaving it up informs other users that this is allowed.
As I said, I'd much rather have the FBI take death threats seriously. But since they won't, removing them (and preventing users from making more) is better than leaving it there.