I don't think he actually meant to roast Butter(bur), not more than he wanted to turn Sam into a frog or something like that. You are surely right about that Gandalf considered this a very serious matter, so he dared to come from threats to deeds, but he'd certainly not torture Gollum. After all, Gollum was not so hard to break. But if he had different nature and proved too obstinate, then Gandalf will probably leave him, seeing that no information is to be collected here, and head to Bag End or maybe for a counsel to Saruman, assuming the worse.
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"Should the story say 'he ate bread,' the dramatic producer can only show 'a piece of bread' according to his taste or fancy, but the hearer of the story will think of bread in general and picture it in some form of his own." -On Fairy-Stories
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