I would be surprised if these were the first death threats they received. After all he is a bounty hunter and you would think being threatened would be part of the job. Must be serious though if the FBI is involved.
I would agree that it's probably not the first time someone has threatened the dude's family. However, I bet any time you report something to the FBI they are "looking into it", which for the purposes of a TV show reads as "involved". Not saying it's not a serious threat, just that I take with a grain of salt anything the reality TV industry throws out.