Sheila's the Biggest Threat?

When James was evicted, he did say Sheila was the biggest threat.

Tonight, Sheila flat out asked him who he thought was the biggest threat.

He replied with he isn't threatened by anyone.

Sheila is now telling everyone else that he told her he felt threatened by her.

Maybe I missed something, but I remember watching her in that hot tub hoping he'd say her name and he never did.