On one end of the spectrum, if a sidechain's 2-way peg can be severed at the whim of the sidechain devs, it would essentially be an altcoin and would presumably attract about as much investment as altcoins do (not a threat to Bitcoin).
At the other end of the spectrum, if it's mathematically impossible to sever the 2wp, then it is a true sidechain and the value seems to always remain with the Bitcoin ledger (not a threat to Bitcoin, at least not for this reason).
From the description of the SPV proof, to get out of the sidechain it seems like you need to be able to create transaction in the sidechain which burns some sidechain units.
If it's possible to block transactions in the sidechains, then it would be possible to prevent sidechain holders from cashing out into the main chain.