An imaginary threat, the by-product of her possible mental instability or infection (Paranoia, hearing voices, etc.)
The real question here is why she was able to change the transmission on the radio tower 4 years before DHARMA supposedly stopped using the thing, and why she was referring to Brennan in the present tense, when he was already dead at the time.
It's possible that DHARMA was restricted to only the area behind their sonic fence, and within the security of their hatches at this time, because of the actions of the Hostiles.
The Hostiles/Others cut off DHARMA from the radio tower before anything else; it was the first step in their plan to get DHARMA off their island by cutting off communications to the DI's allies.
I don't know why they'd do this, but DHARMA might have let Danielle continue broadcasting her message. maybe the radio tower was unimportant to them by this point in their research or maybe their research was taking a back seat to the conflict with the Others.
Controlled by The Others possibly with the intent of luring others to the Island.
The message is on a loop, with a male voice counting off the iterations between each playback. This is likely a mechanism put into place by DHARMA/The Others, rather than Rousseau herself. The purpose of the iteration count, beyond the obvious, is unknown.
DHARMA may use the iterations to see how long it took the staff to figure out how to "Save the World"
In the transmissions she sometimes is saying simultaneously "Help us" and "They are all dead" creating confusion as to who she believes is dead. If all her team members were dead, she would be saying "Help me". Assuming that not all of her team members were dead at the time she changed the transmission, who is dead? It is reasonable that it is the people they were sent to help with the expedition.
"Us" may simply refer to Alex, whom Rousseau knew, or at least hoped, was still alive.
"Us" referred to Alex, as Rousseau stated she started sending the signal a few days before Alex was born.
"Us" implies she was still in possesion of Alex and this event may have ended with her abduction.
It is very likely since we see Rousseau is pregnant when she kills her crew, and we know she made the transmission soon after, that she is still pregnant when she makes the distress call. The "us" she is refering to is herself and her unborn baby.
Rousseau tells us herself that the Others took control of the Radio Tower and Dharma would certainly have changed the transmission back if they had access.
Changing the signal would have been pointless, since all signals leaving the island were being jammed by the Looking Glass station. Ben would not have bothered worrying about changing the signal back since he knew it would not be heard by anyone either way.
It stands to reason that The Flame was capable of receiving the tower's signal, so the Others (or at least Mikhail) must have been aware of the altered transmission, and for some reason allowed it to continue. Either the Others were confident that the signal would not be received by the outside world, or they are unable to alter the signal.
The keys are the keys to the Radio Tower. There is someone or something outside that Rousseau is afraid of and she wants to lock the door so he/it can't get in... however she cannot because the keys are missing.
Brennan was dead by the time the recording was made. Rousseau didn't make the recording until after she killed Robert. Brennan died before Rousseau's lover. However Brennan still could've taken the keys before his death. It is only later after Rousseau has killed him that she realises that he took the keys. Whoever or whatever is outside is not Brennan.