I doubt that unless you want to hold the certificates yourself you will pay any fees.. maybe an account closing fee?. Check the firm's Fees and Pricing guide which is likely avail. online.
You are not buying and selling so it is not a "trade", thus no commissions at all per se... and you should not have to liquidate anything unless maybe you are in some private proprietary-type fund of theirs. That might make you incur commissions or even back-end fees, I think.
For me, moving was a matter of selecting the new brokerage first.. filling out their application giving NewBrokerage the authority to get the holdings from OldBrokerage. I did not need to speak to or do anything w/r/t OldBrokerage. Warning, these transfers are not instantaneous; it may take days or who knows exactly how long for the new acct. to be up and running. For that reason, if you want to make immediate adjustments to your positions because of these losses, you may want to do that BEFORE yanking your account.. Even after you close out you may still get some statements from OldBrokerage if dividends come in in the interim..
I would handle the situation differently for an account that I managed versus one I'd allowed a broker to manage!! But at the very least I would review exactly WHAT the culprit was in this "significant loss of principal" thing. It sounds like you are rather vague on the whole picture.. correct me if I am wrong. You need to know if these are losses in line with the market/sector/fund/whatever, or if there is something that is particularly unusual or bizarre.
If you picked or happened to approve unlucky purchases.. I'm not sure what moving the holdings will gain you. If, on the other hand, you feel you were steered into investments inappropriate for your level of risk (brokerages usually quiz you on this for their own protection), or the broker was given a free hand and made some kind of criminally disastrous moves, then you should pursue potential recourse with the firm.
I would def. try to see what the motivation is behind that warning shot.. besides just "personal meltdown".