Great question, and I am glad you are there for your grand-daughter during this incredibly stressful period in her life. My initial question is: Where the heck is her mother during all of this??? Mom's responsibility is first and foremost to step in and protect her daughter from a father who is also obviously hurting, but has no ability to cope without placing all of his burden onto his daughter - a move that will have long-term implications if he does not stop, or if she is not shielded from his drunken phone calls (plus, no telling what he is saying when they are together).
My second question was: How do you know that he is saying these things if she is afraid to discuss the interactions with you? I am hoping that both she and you know that you know (maybe she slipped and told you on one occasion?) so that any intervention you make is not a surprise/shock to her.
I do not think CPS would be interested in stepping in to a situation like this one, but the threat floated past dad may help create a sense of perspective in him. The threat of legal action has that effect on people. However, if it is at all possible, I would have mom place this boundary rather than you - from the perspective of "family," it is better for the daughter to know that she has a strong mom who has her best interest in mind.
If that does not seem palatable, this would be the other thing I advise: Have a sit-down with your grand-daughter (this again is something mom should do, but if you feel that mom's effectiveness has been compromised for some reason, then you must take care of it); tell her that you are going to talk to dad first ALWAYS to make sure that he is not drunk. If you get the impression that he is, then she cannot talk to him... if he appears to be sober, then she can speak to him. She will balk at this because she loves her father, but if you walk her through the thought process, and how badly she feels when dad acts on in this manner, she will come around.
Lastly, it will help her to "come around" if she feels confident that dad's safety is intact. Tell her that YOU (or mom, of course) will monitor dad's phone calls for any sign of physical malady. If you feel his health is at risk, then YOU will be the one(s) who will call the ambulance, not his daughter. Take the burden of worry from her, too. It is fantastic that she is responsible and heady enough to call 911 when dad is in peril - reinforce that - but she does not need to have a constant worry. Let her know that the grown-ups in her life will step in and relieve her.
In sum, I think that she needs to maintain contact with dad for as long and as much as he is able (telling him the new rules is also imperative - he has to know the boundaries and the steps you are taking), but also needs to know that she has strong adults in her life who will take over the decisions when it is necessary for her emotional and mental well-being. I wish you the best of luck- If you are satisfied with the response, please hit "Accept." That is the only way I can receive credit for my question. Thanks-