Seriously, why treat this guy differently than any other person who refuses to submit to screening? Let's say the bomb wasn't in his underwear, but in a wine bottle. If they discover the bottle, sure they'll take it out - but you still have the option to leave the line and check your bag. Same goes for a knife. They may even point you to a convienent mailing station where you can send the blade to yourself.
TSA isn't really in the business of identifying who may be a potential threat.