This has probably been asked to death. My very small reading group just read this piece, I had read it ages ago. The other members felt that the menacing phone calls were simply the result of "the baker" being a poor communicator, of course he says this himself toward the end. They saw the story as realism. I see the opposite, that he is a symbolic messenger of sorts, similar to the blind man in Cathedral who brings the husband into a new state of awareness. And the ending of Small Good is certainly not realistic it is illogical and dreamlike.