No, Harry didn't threaten him with Molly on the road.
Yes, I agree with you, but you just gave my an idea. In their final conversation, when Harry was demonstrating to Carlos what a real threat is, one of the things Harry said was:
"The Winter Lady might not take it kindly, either, (The Council going after Harry.) and you saw what she's capable of doing."
Carlos cheek twitched and he could only meekly answer:
"Yes, I did."
Harry then finished by saying:
That was a threat, Carlos..."
Harry was referring to Molly's scary performance during the battle. He doesn't know what Molly did to Carlos, but Carlos doesn't know that Harry doesn't know. For all Carlos Ramirez knows, Molly may have joked with Harry about how she first came on to virgin Warden and then tore him apart. From Carlos' perspective Harry may have just made a very personal threat against him to have Molly finish the job.
The PTSD Carlos Ramirez is suffering from doesn't come from being crippled by the Fomor in some random firefight, it comes from being crippled by Molly. And what Molly did to Warden Ramirez didn't happen in a firefight or battle; from Carlos' perspective it was an unprovoked near instantaneous slaughter which he somehow survived, and that Carlos couldn't have stopped even if he had seen it coming. There's something that would give anyone nightmares.
I'm feeling a little more sympathy for Carlos at the moment. Whoever gave Warden Ramirez his orders didn't have to do much, or any, manipulation to get him to place the tracking spell on Harry. They would have to be seen that Carlos was primed to go in that direction from the physical and mental punishment he had suffered at the Winter Lady's hands. Thinking this through, I believe the gulf between Harry and his former friend is far wider than I originally thought when I first read that exchange.