Believe it or not, but the industry has become a better place as it has matured and ongoing consolidation has squeezed out many of the underfunded and integrity challenged - it really was like the Wild West at one stage.
Unfortunately there is still way too much dishonesty, inefficiency and bad practice by casinos, as any one perusing the complaints section at Casinomeister must agree, but really evil guys such as those you ask about "knocking on your door" are very rare these days, and it's mostly bluff by dumb-asses.
The one genuine case I heard about (and I have been in the industry since the early days) involved a member here, who will step forward if he wishes to give a first hand account.
Some palookas were sent to his office in LA, and that was the biggest mistake they ever made - he really sorted them out with some courageous and decisive action.
Then we had some Costa Rican lowlifes who ran Royal Dutch Casino (now a thing of the past, thank God!) They tried to intimidate another member here who was battling to get a long overdue payout that they claimed was the responsibility of a previous management (there's another such case ongoing here at present on PurePoker)
Royal Dutch had some intellectually and integrity impaired half-wit trying to BS the player into believing that "a Washington lawyer" was going to visit him - it was of course an empty threat.
On the sportsbook side, and in Costa Rica an online sportsbook webmaster has a nasty intimidatory, but no violence experience with some heavies from a less-than-trustworthy operator in that country.
Other incidents I can recall in ten years involved myself, with telephoned threats of violence on several occasions by operators (most of whom are now out of business, surprise, surprise) for running stories about their two-bit, cheesy outfits. Again these were empty threats. One case scared my wife, who happened to answer the phone and this made me very angry, but of course it was another nonsense call. Regrettably an effort to nail this cretin by national and international police, who take this stuff seriously , failed.
So, long story short, it is highly unlikely that players will be ever exposed to genuine personal danger in my opinion. If anyone so much as utters a threat, I would suggest you bring it here and we'll definitely deal with it. Crooks hate light and exposure.
To close, there are also more *sophisticated* ways of threatening, and Bryan at Casinomeister has certainly seen those. They take the form of lawyer's letters from the servants of companies that don't like having their shortcomings and sins exposed.