I think maybe he just decided it wouldn't be effective, or got the idea to threaten her with Glenn's life (which seems like a pretty obvious tactic, but whatevs) and decided to run with that instead. Or it could just have been an empty threat all along, I guess.
I agree with those who say they're having a hard time getting a handle on the Governor. He seems to have about five different speeds: the shy, affable, somewhat lonely type who's been flirting with Andrea, the more serious version of same who emerges when he has to justify his seemingly bizarre/depraved actions (like the zombie cage fight), the guy who's able to subtly threaten and intimidate Merle while remaining outwardly pleasant, the over-the-top, politician-like grandiosity he displays when trying to 'win over' Michonne (which seems so blatantly insincere that I can't help but doubt whether he's actually trying to persuade her at all - seems like maybe he's just goading her)... and, finally, the psychopath who slaughters those who might challenge his authority, keeps a collection of zombie heads in his study and his zombiefied daughter in the pantry, sneeringly forces Maggie to undress and then threatens her with rape, and so on. I can't figure out whether one of these personae is the real one and the rest are just an act, or what? Is he genuinely being himself, for instance, when he's with Andrea, or is he just manipulating her? If so, to what purpose? Was his treatment of Maggie an example of his true sadism rising to the surface, or simply an (admittedly despicable) interrogation technique - chosen because he thought it might be an effective way to unnerve her, and discarded just as quickly when a 'better' idea popped into his head?