I have seen people threatened to have their work visas not renewed in Sweden.
Well, this risk is the price you have pay to work in a better country. And anyway, most probably they would have some time (in my case, up to 45 days) after the contract termination to find a new job, so it's not that tragic.
Doesn't make it better (at all), but it's essentially just the threat of firing albeit with more weight behind it for the visa workers. Not the company calling the visa office about you or holding on to your passport, etc...