The above sentence isn't intended to be a threat; she's not about to rush you, tackle you or steal your cellphone if you turn away from her. It's just very poor etiquette. When we spoke about bowing and curtsying conventions earlier on, we also said that in times gone by, if you were leaving a Monarch's presence, you would be expected to bow three times while walking backward. They don't insist on such a practice now, but it would still be considered incredibly rude to turn away from the Queen if she was facing you.
As with several other items on this list, there's nothing in writing that suggests any manner of penalty will be incurred if you were to turn your back and walk away, but you'd definitely be off the Queen's Christmas list for life. Plus, why would you walk away from the Queen anyway? You may only ever get one chance to speak to her!