"by that last part anyway" is a qualification of " I don't think I understand exactly what you mean". e. she doesn't understand "Never forget that I am more dangerous ...
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"by that last part anyway" is a qualification of "I don't think I understand exactly what you mean". She is saying that, after all, perhaps she might understand some parts of what he said, but she doesn't understand the last part, i.e. she doesn't understand "Never forget that I am more dangerous ... etc.".