Is there an exemption to the illegality of blackmailing if that blackmailing is of the sort "if you don't stop blackmailing me, I will call the police"?
Why am I asking this exactly?
A more general form of this question would be: Is it legal to say "if you don't stop doing that illegal thing, I will call the police", or is this illegal since it's kind of blackmail? I am not asking this, as I assume it is illegal. It's blackmail.
So, what's different with the case at the top? Well, I believe there may be an exception to the above assumed law. Court cases are generally public; that means that, presumably, the sensitive information used by the blackmailer would also become public. If the victim cannot legally counter-blackmail with a threat of reporting the blackmailer to the police, then the victim practically has no legal way to stop the information from being released without going along with the blackmailer's demand(s)*.
*unless they can somehow legally remove the sensitive information from the blackmailer' possession.