What legal risk? You're a fly-by-night vendor outside Etsy's jurisdiction who can close up shop and have twelve new corporate entities by tomorrow morning.
It happens on Amazon, there was a post on here about it. I’m not sure they’d want to double dip and demand the hush money in that case, but it seems possible it happens on Etsy too.
This is likely some callcenter-adjacent scam. They're probably doing this to hundreds of shops, and occasionally get one cave in and pay.