Threat is an idiom that comes from sports. A player in American football who can perform several functions (run with the ball, catch the ball, and perhaps even throw the ball) is called a multiple threat because he can score a touchdown ( a goal in soccer) on the ground and in the air.
Here the actress can play comedy, tragedy, etc. - "a multiple threat."

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arango has proven to be a multiple-threat for Imperial as he has also been called on to run and catch the ball and provide tackles on defense.

https://www.pressreader.com/usa/imperial-valley-press/201710...
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Fast forward a bit and you had Roger Craig and Thurman Thomas who could run and catch. Fast forward just a bit more. Today’s elite backs are mostly multiple threat players like Ray Rice and LeSean McCoy. They can run with speed, agility and power. They can catch the ball out of the backfield, or they can line up wide and run wide receiver routes. They can pick up blitzes and block. That’s not valuable? Don’t make me laugh.
https://guysgirl.com/nfl/why-running-backs-still-matter-in-t...

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Note added at 2 hrs (2017-10-30 11:23:53 GMT)
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The actress can play comedy, tragedy, leading roles, supporting roles, etc.
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