The orange pips sent to Holmes' client in the story was one of several examples of how the KKK contacted ex-members and signified that they (the KKK) were on their trail. I thought this had been fairly well explained in the text itself. And to justify Holmes' decision to allow his client to leave Baker Street (he was one of two clients that were consequently murdered, the other being Mr. Cubbitt of the "Dancing Men"), Holmes had no way of knowing that the KKK agents were already present in London and had that night resolved to proceed.