Yep, you can combine the threat of failure with other threats.
Like, if you're facing an Iruvian swordmaster, and you want to disengage and Prowl up a drainpipe to run away across the rooftops, you might have two threats: "Stabbed through the neck (Harm 4)" and "Failure: You don't escape. They block your way."
I'll include an example like this in the next update.