Parents should have free reign to parent their children however they wish, so long as they are not causing harm to the child. Our society has gotten to the point where everyone is a child rearing expert, and it's "their" way or the highway. Parents need to be given the flexibility to make their own decisions, even if it is scaring their children with fictional characters.
Since we were little, parents have told their children that Santa is watching, or if they're not behaving, the Easter Bunny or the Tooth Fairy won't bring them presents. That's different than threatening a child with a violent or scary monster, but most people and children eventually understand the difference between real and fictional. Also, compare that to telling a child that God is watching, which we also do fairly often. Now, I'm not equating a character with God, but really to a child, how different is it?
It might not be the best patenting move for a parent to threaten their child with a fictional character, but that decision should be left up to the parents of the child, not to the government. Parents should have a certain level of autonomy when it comes to deciding how to raise their children.
Yes, parents should be allowed to threaten their kids with fictional characters because it causes the kids no harm. It may in many ways inspire the kids to think outside of the box and use their imaginations. The fictional characters that kids are exposed to will increase their desire to learn.