I also received this message for two of my 20 sites so far. The first message was received ten days ago and the next six days ago. Traffic is still good for the site from ten days ago but the rankings for the site that got the message six days ago have fallen, but not dramatically. I am still waiting for something bad to happen, but I've read that some people actually see increases after these warnings, so I am crossing my fingers.
Messages like this are very frustrating, and I have chosen not to respond to their threatening letter. After all, there is nothing I can do to change the links that point to my sites.