The Concept of the Grimm and the fact humanity was almost wiped out by them, till the discovered dust.
When Ruby is pinned by the Nevermore's quills and the Deathstalker approaches, Yang tries to run to save only to blocked by more of the Nevermore's quills. If it wasn't for Weiss, Yang would have seen her sister be killed.
Just how easy it is for Cinder to run rings around everyone. by the end of the dance night she took out Ironwood's security, broke into the CC, did... something to the computers, and got out almost entirely unhindered and undetected. And nobody has a clue what she's planning yet, or how to react.
The World of Remnant short clip Kingdoms is filled with it. The narrator goes on to describe how the four kingdoms are the only safe havens for human civilization, how settlements outside them can just disappear over night. Then there is there is the implied threat that the kingdoms might share those settlements' fate.