All I can come up with is she wants Littlefinger to testify against certain people who have used his brothels, Or, the money situation is so bad (she sent lord dummy with guard dirty-work... I'm assuming Mr. Tyrell isn't expected to come back as master of coin...) that she needs Pete Bailout for his funny money tricks.
Even though they had that threat scene (knowledge is power... power is power) I don't *Think* she sees him as a threat, really... just another player she has to work with/against at different times.
I'm not sure what the Dowager Queen has to offer Pete anymore though. No gold, lands seem to be all awarded out... not sure.