This Is Not a First Amendment Issue
If the government issuing threats was our own, then it would be a First Amendment issue. This is a "North Korea doesn't understand that we don't live under their laws" issue.
Sony as "Cowards"
Sony has been castigated for capitulating, but that, too, is unfair. They made the decision after the top five theater chains - AMC Entertainment, Carmike Cinemas, Cinemark, Cineplex Entertainment, and Regal Entertainment - each elected not to screen the film. Sony really had little choice in the matter at that point except whether to go through with the charade of a release that would at best play in a handful of indie theaters in Los Angeles and New York.
To put this in perspective, filmmakers make several rounds of edits to each movie released in order to accommodate the entirely arbitrary taste of the Motion Picture Association of America to secure specific film ratings. Why? Because each rating is associated with a different size audience. The greatest fights are to get an otherwise R rated film down to PG-13, to catch the largest audience, and to get an otherwise NC-17 down to an R - because at NC-17, none of those five chains will ever bother screening it.
Theater Chains as "Cowards"
I'm surprised that the theater chains haven't been attacked the way that Sony has been, since it was their decision that forced Sony's hand. But in fairness to them, we live in an era where it's wholly irresponsible to ignore even the slightest threat. If I'm at Cinemark, for instance, and I hear that North Korea has threatened retaliation on the order of 9/11, my reaction isn't to laugh at the absurdity of the threat. It's to think of what has just transpired in Australia at the prompting of ISIS, and to remember the 2012 theater shooting in Aurora, Colorado at the midnight premiere of The Dark Knight Rises. It doesn't take skyjacked commercial jets to decimate a theater chain. It really only takes a handful of assailants dispatched to a handful of theaters. A coordinated attack in just a handful of theaters would be sufficient to injure or kill countless people, first and foremost, but it would also have a devastating effect on the public consciousness about the safety of movie theaters during the second biggest time of the year.
Where Does This Leave Us?
There are two fronts to this question. The first is a political matter. President Obama isn't the saber-rattling cowboy that many Americans wish he was, but he has managed to work through diplomatic channels to address most of our antagonists throughout his time in office - and quite successfully, at that. Kim Jong-un presents a different problem. He's little more than a terrorist leader, but one who enjoys the protection of sovereignty. North Korea is pretty much already as run down as a country can get without being bombed on a daily basis, so I don't know that increased sanctions would make much difference.
The other matter, of course, is the film industry and how it proceeds. This is an extreme situation, but it does highlight one important matter: Hollywood isn't just making movies for Americans anymore, and being mindful of that isn't even a matter of sensitivity or defiance or anything in between - it's a matter of necessity. So far, all we've really seen is that our blockbuster movies have been light on dialog that may not translate well into different languages, and heavy on action sequences which require no translation. A perfect example is this summer's Transformers: Age of Extinction, which was clearly crafted to appeal to Chinese audiences - who did, in fact, respond with unprecedented enthusiasm. I'd like to think, though, that there are storytellers out there who can tap into the global consciousness with more sophistication and in the process create films that can speak to greater matters.