I have used that threat. Yesterday in fact. My normally well behaved child has not been so well behaved recently. And she got threatened, for the first time in nearly 7 years, that I will call Santa and tell him not to bring her gifts. That her presents will be given to children who get nothing. That I would cancel Christmas. Do I mean it? Absolutely. Would I follow through? In a heart beat.
My normally delightful child has good values and constantly tells all who will listen that Christmas is about spending time with family. But her behavior was enough for me to tell her I would pull the tree down and cancel our planned festivities.
Does it make me a bad parent? Well, I'm sure it does in many peoples eyes. But it's what I, as her parent, felt was the most appropriate thing at that point in time. But I don't believe it makes me a bad parent. I would have absolutely followed through. It's not the norm in our home. And if I am
Judged on that one little thing as a parent, well, that is very pigeon holed.

To answer your question about how I would have reacted if my child had said "I was naughty and got something anyway". Well, my child would get a sack of potatoes and nothing else along with a stern letter from Santa. But I give my children a potato in their stocking every year anyway. Santa knows they have misbehaved at times and it's his way of letting them know. He only ever brings one actual present anyway though.