No.
Nintendo's KISS/Blue Ocean philosophies are mutually exclusive to building a multifunction media center to control all your content. The Wii doesn't even play DVDs. No, Nintendo is no threat.
The next step in device integration for the next gen will almost certainly be HDTV/IPTV tuners and DVR capability, and probably some Slingbox-styled live streaming/TV-to-IP relay services too. These are services Microsoft and Sony will pursue. Nintendo simply won't, it's not their M.O. I think the proliferation of PVRs and Slingboxes and Apple TV-like appliances and so forth almost mandates MS address these threats with the next XBox, irregardless what Sony does.
But the thorn in Microsoft's side will always be Sony's aggressive content acquisitions. Sony owns Columbia pictures & BMG, among others, so that presents a huge challenge to Microsoft. Sony Pictures holds so many tv and film properties it borders on obscene. Controlling how we get our content doesn't do Microsoft much good when Sony's the one that's been out there buying up all the content.
