In that, again, it is a warning (6)
I believe the answer is:
threat
'a warning' is the definition.
(threat is a kind of warning)
'in that again' is the wordplay.
'in' is an insertion indicator.
'again' becomes 're'.
'that' enclosing 're' is 'THREAT'.
'it is' acts as a link.
(Other definitions for threat that I've seen before include "Menacing words" , "Intimidation or warning" , "A warning of harm to come" , "An intimidating warning" , "Statement of intention to harm" .)