The other child probably had no idea what she was saying. I would ask the teachers to keep on eye out for agressive behaviour but I would not make a stink with the principal at this point. Next week these little girls may be friends.
I come from a large family and have 2 kids of my own, 15.5 and 3. That kind of talk is not nice, but doesn't have the meaning it would if a 12 year old said it. Make sure your daughter is safe, but do not go to war with another family over what could very well be typical (but inappropriate behaviour).
joudrel - there are two things that probably need to be addressed:
1. The stated threat. Usually, schools fall all over themselves to press legal charges against children who make the mistake of losing their temper, and maybe this other girl was just losing her temper and it is in no way a real threat. If you can talk to the teacher and make sure this was handled thoughtfully, it really sounds like there is minimal risk of physical harm coming to your daughter.
2. More long term, you probably need to work on your daughter's interaction with other children. It's February now, and if she's been in constant struggle with this one other child for who is the big class leader, this problem is probably not going to go away just with this one child being out of the picture.
From your description, this relationship sounds very two-sided, in that they are both equally engaged in locking horns for who can be on top. Is there a counselor you trust at the school, or some other way to smooth over your daughter's need to be in "incessant" battle? If you can somehow nip this in the bud, it will help her tremendously down the road. Maybe she could compete in a sport, or another persuit, but not be so aggressive socially?