I think Hank is going to find himself in quite a pickle when he inevitably discovers Skyler's part in the whole thing, along with the clearly remorseful Jesse.
I took Walt's threat to Hank less as a physical thing and more as a general "you have no fucking idea how far deep this goes." Walt is certainly capable of inflicting physical harm or worse on Hank, but I think Hank will be more screwed up when he discovers the extent of Walt's influence on others around him. How would Marie react to her sister possibly being sent to prison, and would she blame Hank if that came to pass? How would Hank deal with knowing he could lose his wife, and what of Junior and Holly?
That is the greatest harm Walt inflicts; he corrupts and manipulates those around him with his malignant influence. As has been clear for a long while now, Walt is the cancer.