That is a threat. I know someone that was threatened on the phone. They called the police, and guess what. Nothing could be done BECAUSE it was just a threat, and nothing had happened yet. Sounds weird I know, but words are one thing and ACTION is another.
What about a known pattern of training snipers? What about known sniper attacks by the same group elsewhere in world? Just how hard does the evidence have to be to steer the investigation in a certain direction?
Afraid in a court of law, much of that would fall under supposition and hearsay. What is needed is to actually catch the shooter! THAT WOULD HELP! Some physical evidence linking the shooter to the ME. I know, you don't like it, many don't or won't but its necessary.
LE may and probably do have more info than we are being given. (hope so anyway) until we are given more facts we have to work with what we are given. Which at this point is inconclusive.