It's something many blurt out when they're being tickled, usually in repetition. I never take it very seriously and have never had someone go wee-wee during a tickle attack. If I thought there was a chance they actually would, I would stop. If it's the first thing out of their mouth - which is usually when you hear it - then there's probably no danger. If you've been tickling them for ten minutes, nonstop, then maybe it's time to give a break. In bondage scenarios, there's usually a safeword.
There's a distinction to just shreiking "You're gonna make me pee!" and "I've got to go pee."
Lastly, there is a subset of the community that is into tickling them 'till they pee. I don't know how many, probably not much, and I don't include myself in their number, but....other than those folks, I think most of us are going to say if we think there's a real danger, we'll relent.