So how does reacting to bunk threats (threats, not actions) like this fit?
It's fear; pure and simple.
As to the first bit - your just constructing an idiotic scenario that doesn't exist. The attackers in Sweden are not deliberately trying to cause fear - thy are just trying to hurt a guy. However at some point in the background is someone who understands the impact of their actions on a wider scale.
Many men exist within the echelons of terrorists. Many may not communicate together - but they don't really need to. The plan is brutally simple and uncomplicated; cause terror.
I don't think it is possible to claim there isn't a climate of fear in the western world. We see it every week almost.