Harmony has a plan. That plan doesn't involve her minions killing or threatening Dawn, but simply keeping her as bait to draw out the Slayer.
Despite their persistent bitching, when the time comes they follow the plan to the letter. You may wish to note that these particular vampires are not the sharpest tools in the box since they're following Harmony in the first place.
HARMONY: We send Buffy a note telling her if she wants to see her sister again, she has to come, alone, to a place we choose. She comes,
we jump her, we kill her.
MORT: So it doesn't really matter if we're actually holding the Slayer's sister, as long as she thinks we are, she'll walk into the
HARMONY: I guess…
CYRUS: So it won't make any difference if we eat the girl now.
HARMONY: We're not eating the girl.
PEACHES: Why not?
HARMONY: 'Cause… That's not the plan.
Buffyworld - "Real Me" Script / David Fury
For me, the question is why they'd want to threaten Dawn during the fight since the goal here is to fight and kill Buffy rather than escaping from her.
Attacking Dawn might make her divert her attention for a few seconds, but doing so would require the vampire to take their eyes off of Buffy which is basically a death sentence for them. On top of that, hurting Dawn would just make Buffy more angry so there's really no upside in doing so.