In my opinion it depends on what kind of damage you are referring to. The damage must be caused directly by the threat (or directly enough, at least), otherwise you end up with chains of causes and effects, leading to surreal conclusions. For example, if you have an office by the road, and a dog crosses the road, and a truck steers to avoid the dog, and the truck crashes into your office and destroys a wall, and the wall falls down and hits your computer, and your computer is broken and you lose your data... Are dogs a threat to your hard disk?
So if you consider power loss to be the damage, then a possible threat might be a storm, and that would be an environmental threat. On the other hand, if you identify the damage as a loss in productivity, then a possible threat might be a power loss, and that would be a structural threat.
Susan has lost power to her building. What kind of threat has she experienced? A. Adversarial B. Structural C. Process D. Environmental
In that question I suppose the loss of power is the threat, and they are asking what kind of threat. Answer: structural. If you supposed the loss of power was the damage, then more than one answer would be possible (the threat might have been a storm, or somebody cut the cables, etc.).