Is this an actual legit combo? With Vanish from Sight, is it possible to reduce your teammates' threat as much as you want? (and I assume that once the phase ends, you insta-die from threat ¿?)

Also, if I have 3 heroes and I play Desperate Alliance, can I play Vanish from Sight then?

Yes, it is a legit combo, confirmed by the developers. In the ruling, they hinted at issuing an errata for Wandering Took, I believe.

You can even use O Elbereth Githoniel to set your threat back below 50 so you don't even threat out after Vanish from Sight ends.

Yes, you may use Vanish from Sight if you Desperate Alliance your 3rd hero.

https://community.fantasyflightgames.com/topic/219748-vanish-from-sight-o-elbereth-gilthonial/