Actually, I think that's why Hurley was screaming it out. He thought it would strike fear in them. That's my opinion, though. But, perhaps, the cops know nothing about the significance of being a member besides the fact that they survived a horrific crash.
Now, people associated with finding the Island or working for DHARMA, they might fear it because they know what Ben is capable of and they might know that those members might be working for him.
So once Sayid said it, it was confirmation that the guy was in trouble. As a viewer we thought it was Sayid saying, "I happened to survive a horrific crash. But I'm alive." But in reality he was saying it to strike fear into the man. More of a, "I'm one of those people that's now going to kill you."
As for him suggesting that they will now know he's going to kill, that's because the girl phoned her boss. They know that there is at least one member of Oceanic 6 killing people. So they are now aware of his presence. On the golf course, the guy only knew to be aware of the possibility. At least, that's how I took it.
edit: remember, the girl knew Sayid was going to kill her boss. So, I think Sayid killing the man in the golf course was actually their first tip that someone was out there killing. They traced it back to Sayid and were hoping that he could lead them to his boss. Obviously they failed and apparently, Ben doesn't care that they know Sayid is around. Probably because people do stupid things when they are too aware of their surroundings.
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