Are there death threats for them? Well, it's the US so I doubt that someone has the audacity to that to them, so this is just a exaggeration on their part to have this private guards that can rival even the President? Lol..
Considering the fact that so many people were deceived, I believe that there will be enough people who want to take revenge on Sam Bankman-Fried for their losses. Therefore, such protection is not something excessive. What is surprising in this case is that even during the investigation, he continues to spend the money of his deceived investors.