First off, Welcome to YT
I'm pretty sure he was just playing, and not trying to "send a message to the cat." That's just how yorkies play. They were bred to be ratters to they like to grab things and shake them (how they'd kill a rat).
I personally don't have any experience with cats, but there are other members here that have both yorkies & cats, so I'm sure a few of them will be able to offer you some advice on your situation.