Eh, I'm not sure. It's pretty clear what's in Romney's returns at this point (a lower than average income tax rate, though it's hard to say whether it's closer to 5% or 15%), so I don't see a huge downside risk for him in them being released. If they upped their demands to, say $10 million, we're talking about real money, even for Mitt. Enough to get an extra percent of the vote or so in a moderate sized state. Unless there's something genuinely illegal in the returns, a couple days of renewed interest in them might be preferable to giving up a bit of money at the margin (though, paid media is fairly well saturated now, so it might not be that useful).
From Romney's point of view, too, there'd be no guarantee that paying 10 million would prevent them from being released. There's no accountability for the Anonymous. With 1 million, though, it's just a no brainer.
That said, I doubt they have anything. Reeks of BS to me.