Because he was dying
Personally I agree but I am trying to show how they are still technically a threat
Dying? The Duke of Windsor lived for 20 years after his niece became Queen.
Its fine to say technically they were a threat but you have not explained why and in what context you perceive them as a potential threat?
One could argue that the existence of the Prince of Wales or Duke of Cambridge is a threat to Elizabeth II, they present the British people with an alternative. However they do not threaten her because to undermine the Sovereign, which would in turn jeopardize their own futures.
Its fine for Albert Windsor to argue he is the legitimate monarch but on what basis? Right of birth? Um no, tell that to Franz of Bavaria or his brother Max or his daughter Sophie of Liechtenstein!
You cant have your cake and eat it.
So that leaves you with the legal position, which is the basis upon which the Windsors reign in Britain. The legal position is clear, Elizabeth II is the rightful Queen. To oppose that is to oppose British law, now we all know the Duke of Windsor was quite fond of fascism so it isn't too far removed to imagine that his son would follow suit but the British establishment are not going to take it lying down and is going to come out fighting.
Say for example in the 1960s Albert comes of age and starts getting a bit mouthy, it upsets the British government, it is proud of its monarchy and an unstable monarchy is bad for Britain and its image overseas. The British government is going to raise issues with the French government, who since the 1940s have been providing the Duke of Windsor with a grace and favour home and special taxation privileges which allow him to develop a great fortune. France isn't going to risk its relationship with Britain over the children of the Duke of Windsor. They tell them to shut up or leave.