Dangers vs. threats
Dangers may or may not also be threats (see Writing a threat). Threats are ongoing problems, things that will come back to haunt the PCs later; they might not be dangerous, but they're always troublesome. Dangers are immediate problems: things that can hurt or hinder the PCs during a scene, here and now.
Ultimately, the difference is what you prep. Your prep for a threat tells you what they're up to, what sort of trouble they might cause, how that trouble will escalate and where it's ultimately going. Your prep for a danger tells you how to use a hazard or monster here and now, in a scene.
Lots of threats are also things that the PCs might fight. If they are, write up a monster description for them (see Monsters) or find an appropriate entry in the almanacs. Lots of monsters that the PCs encounter might become threats later. If they do, write them up as a threat between sessions.