I believe threat levels are merely a number representation of what is the "rank" of the mission in Horizons, though with a few added ones. I've seen threat levels going up to about 12 or 13, Mostly Harmless -> Elite scaling is 9 ranks, but we should now have 5 more from the stars ranging from Elite* to Elite*****.
So it merely means how hard a mission parameters scale - amount of cargo/passengers and difficulty of NPC spawns if they happen.