I have no idea what Musk might do, so I'm not excluding anything. But to do anything with a SpaceX rocket he would need co-conspirators, and in the end he would only get a single shot. So the result would be similar to a larger terrorist attack.

I would assume that the risk here is similar to that of many other companies or persons that use large amounts of explosives or other tools that could be weaponized. Musk has a delivery system that is superior to just driving a truck with explosives somewhere, but in many cases that doesn't matter much.

There are some scenarios I could imagine, but they're really more like movie scripts than reality. Musk doesn't have the power to prevent retaliation, and he also couldn't threaten or demand ransom as he couldn't defend his rockets against the US military.