Actually, I think ruining Coil's physical self was more along the lines of what Danny/Annette were going for. They made their arguments quite forcefully, and not without a heaping measure of malice and retribution.
I meant Transformation Jutsu. I can see them being petty like that. That, and it adds to her legend. "Don't mess with Doctor CurlyHair, Coil did and the next day he did a bunch of stuff that ruined his reputation and was never seen again. Do not mess with her, otherwise you will be known as the guy who publicly made threats against politicians, ordered pineapple on pizza, and kicked a puppy before never being seen again."
Sure, they have overwhelming firepower, but there will always be that one person who thinks "I can take them.", so you instead use ruining their reputation as a deterrent. Sure, you may die, but dying and then having your reputation ruined? That would give most people second thoughts.