Because she's (sort of) a public figure and if it was revealed she was lying, it would look very bad for her? She also hasn't had a history of lying about such things in the past, so there's no reason to suspect she is now. She is known to have lied about certain other issues, but not in a way that's relevant to threats or harassment. She also doesn't come across as mentally unhinged or malicious. I dislike her, but I don't think she lied about any of the threats.
The other person being discussed, KingOfPol, is known for his narcissism and fabrication of stories, so it's a bit different.
That's not an exhaustive analysis. I recommend to look at risk vs reward.
The risk of getting caught is essentially zero: just use Tor and VPN
via an 'unfriendly' third country to send fake threats to yourself, or
get a friend to do that for you. Clearly the police is not going to
investigate, because all these cyberthreats are obviously not
serious. The upside on the other hand ... Sarkeesian made how much
last time by playing the damsel-in-distress? Wasn't it over $100k?
That's quite an incentive. And then there is the political effect: the
mainstream media, for various reasons, will
automatically sides with the damsels.
I spent quite a lot of time in activists' milieu and I smell attack
techniques in a Leninian mould, see e.g. Alinsky's "Rules for
Radicals".
The other person being discussed, KingOfPol, is known for his narcissism and fabrication of stories, so it's a bit different.