Why are the only options available not taking someone seriously or arresting them? Because from your own link, those aren't the only options. Nugent's comments were taken seriously: "The Secret Service is investigating Nugent for the remarks he made Saturday at the National Rifle Association convention in St. Louis". He probably shouldn't be arrested, but an investigation is entirely appropriate.
When someone threatens violence, we should take that seriously. It's likely that nothing will come from the NBP's threats (he's clearly too cowardly to take his own advice, and we can hope that his followers are too), but given the severity of what could happen if something did, we shouldn't simply ignore them either. Even short of any official investigation, that sort of language deserves forceful denunciation, just as Nugent's comments did.