Alfin was serious about this threat. He had learned until this point that UTENA was a group of people that won't harm him no matter what happens. But he was also aware of the fact that pushing an individual past his limits would always have negative consequences.
Hence he had maintained his calm and never tried to take advantage of UTENA. They were already doing him service by not trying to eliminate him during his weakest days, so he didn't mind doing them some favors before eventually destroying them altogether.
But people change, just like Alfin did at this moment.
And his change was not made on a whim. He knew that an opportunity like this won't ever arrive. If he pushed UTENA now, they might just relent to his request instead of acting oblivious or retaliating against him.
This was the perfect moment. And Alfin wanted to thank the foolish Thalia once again.