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Window Pain is one way of saying it.
Implied Death Threat might cover it?
Nope, it doesn't need to be an implied or a death threat (it can be an overt threat, not have any threat). "There isn't much point in wasting your time with this investigation" would still fit the spirit of the trope.
TV Tropes's No. 1 bread themed lesbian. she/her, fae/faer
Still not quite what I'm after (that's usually towards the end of the work and delivered in person after the hero confronts the villain, and these sorts of threats tends to be end-of-the-first-act sort of things).
Edited by Bisected8 TV Tropes's No. 1 bread themed lesbian. she/her, fae/faer
Do we have a trope for when the protagonist gets some sort of warning telling them to mind their own business (e.g. untraceable text/phone call, note, etc)?
The nearest I could find was The Villain Knows Where You Live, but that isn't quite what I'm after (since the important part is "being told not to continue by some unknown party") rather than specifically the implied threat.
Edited by Bisected8