Remember Perot, and how Perot got Hillary's husband elected to the White House by running a strong third-party campaign?
Yeah. That's Trump this cycle.
I don't particularly care if Trump "supports" (ie, campaigns for, donates, whatever) one of the other candidates should they win, but threatening to have a temper tantrum and run third party is actively opposing the nominee. That may be legal, but it's also just going to make a Hillary victory inevitable.
I've been known to vote third party, and in fact my primary party affiliation is with the Libertarians. (I vote in Republican primaries when there's actually a chance to yank the party in my direction). But if you are going to run in a party's primary you shouldn't be threatening a third party run if you don't get the nomination.