How/where is it displayed in QGC?
There is no option to display the internal pressure beneath the compass, the only way to see it at the moment is with Tools->Mavlink Inspector->SCALED_PRESSURE
How do I set up warning threshold?
On the Safety tab of the Vehicle Setup menu (click the gears icon).
In which MAVLink frame is it sent?
The internal pressure comes over the message SCALED_PRESSURE.