You could be a troll, but plenty of people like this do actually exist, especially rich ones who feel entitled to do whatever, whenever, however they want. And most of the behaviour here I could definitely see happening, one way or another, from someone in the security industry (although most security types I've known are a bit less imaginative than "love by all means necessary"). So even though my bullshit meter is going off a bit, I'm going to give a serious answer. Because if this is real, I imagine you're pretty freaked out just now.

So. Are they actually dangerous? Well, maybe, but I wouldn't necessarily think so just because they knew about your life. It's just as likely that they did a more-or-less routine (for them) background check on you. Security industry types do things like that sometimes, and it isn't because they're paranoid-for-its-own-sake. Security industry people have access to interesting, and often extremely marketable information, and they get targeted by shitty people to find out what they know. The sorts of shitty people who would quite happily befriend the sister of a family in the business. That sort of corporate and political espionage is something that really happens - it's not just a TV thing, and it isn't only heavy-hitters. Even small-time players can be targeted if their job happens to touch on certain types of data. And their derision towards military-background security industry players rings very true to me - there's a lot of professional rivalry along those lines.

But why the threat, then? Probably because you went wandering the house on your own, which you'd been told not to do and they probably knew it. (In fact, they probably told her to make sure you knew that was the house rule). Then, unwittingly worrying them further, you started asking questions about their work. They probably know that you pressed Kay to come and meet them in the first place, and so their suspicions of you probably shot sky-high at that point. They don't know, at this point, whether you're just an idiot who doesn't follow rules, or a con artist trying to infiltrate their business. So, they hedged their bets. They threw out an implied threat that would get your attention either way, and fit the circumstances either way. If you're an idiot, well, you'll follow the rules next time, or just run away with your tail between your legs. If you're a con artist, you know the game is up.

I doubt that you're in danger, really. Even if they're actually big-time criminals and this "security consultant" business is a cover, they're probably just hoping to scare you off. If they were going to hurt you just for being involved with Kay, they would have done it while you were at their house. If they ever do hurt you, it will be for something else that you haven't done yet. But I am actually inclined to think they are what they say they are.

But I do think you're not equipped for a relationship with this girl. She needs someone who will take her seriously and follow her boundaries and ground rules to the letter. Because even if, as I suspect, they're really "just" security consultants, that is a serious world with serious threats in it. Today it's wandering the house alone...what if next year it's not locking a gate? Or the year after, not insisting on a background check on a nanny because she has good references anyway? Say to her, "I should have trusted your judgment, and I'm sorry I didn't do that now, but I think it's best if I pull back from this relationship. I don't think I can handle the way things work in your family. I'm sorry."