Point is he loses credibility if the board doesn't think he's actually going through with joining Microsoft and using it as a negotiating tactic to scare them.
Because the whole "the entire company will quit and join Sam" depends on him actually going through with it and becoming an employee.
I see it the other way, Satya has clearly stated that he'd hire Sam and the rest of OpenAI anytime, but as soon as Sam is officially hired it might be seen as a door closing on any chance to revive OpenAI. Satya saying "Securing the talent" could be read as either them working for OpenAI, for microsoft or for a microsoft funded new startup.
I'm pretty sure the board takes the threat seriously regardless.
Because the whole "the entire company will quit and join Sam" depends on him actually going through with it and becoming an employee.