Threats of the Round
With Protective Pads shielding it from Flame Body and Double Iron Bash to bypass Kyurem's Substitute spam, Melmetal leverages its monstrous base 143 Attack and access to Earthquake to lay waste on this core. While I would have personally used a different spread to take Magma Storm more reliably and Substitute isn't truly necessary to defeat this core, Protective Pads Melmetal is undoubtedly a massive threat to it because it nullifies the fundamental strategy of luring and burning with Heatran on the switch when its using Double Iron Bash to threaten Kyurem. At last, its gargantuan physical bulk and Ice resistance allows Melmetal to neuter Kyurem pretty much all game long.
Thanks to amazing bulk and handy resistances to both Heatran's and Kyurem's STABs, Tapu Fini is a stone wall for the core to break through. Despite being more susceptible to Substitute + Pressure stalling than Melmetal, Tapu Fini does run Taunt to shut these shenanigans down immediately and Calm Mind to boost alongside either, which makes it a threatening win condition that can use both as setup fodder. While you can theoretically try to force some PP stalling and Flame Body activation around Draining Kiss, that's highly unreliable and mostly uneffective, making Taunt + Calm Mind Tapu Fini an exceptional threat to the core.
Additional Notes
Choice Band Tyranitar isn't a durable check to the core by any means, but it still easily takes a couple hits from this core and Rock Blast makes it very threatening, especially because Stone Edge is the more common Rock STAB and the Kyurem user will be trying to scout what move Tyranitar locks itself into via Substitute. This scenario is quite favourable to the Kyurem user if Tyranitar is running Stone Edge, but it's extremely frightening when Kyurem is greeted by a suprise Rock Blast that can potentially KO it from 75%. Rock Blast also comes with the added perk of being a multi-hit move that doesn't make contact and hits Heatran for neutral damage, making it a fairly safe move to click against either.
Keldeo is obviously very threatening to this core, being a quick Ice and Fire resist with a secondary STAB that hits both and doesn't even make contact (or would care about burns in the first place), so it definitely deserves a spot here despite competing with its arguably better counterpart, Urshifu-Rapid Strike. However, in this particular task, Keldeo has a slight advantage over Urshifu and that is PP: Secret Sword has double the PP of Close Combat, making it noticeably harder to drain away through repeated Substitutes. That being said, Keldeo will more often than not be worse than Urshifu-Rapid Strike in almost everything else, meaning it's harder to justify over it, despite being better at fulfilling this particular niche.
Mixed Slowbro has a lot of potential against this core, being more adept at taking on Heatran thanks to a hefty Special Defense investment while still comfortably sitting in front of Kyurem and taking no damage from Icicle Spear. However, the set showcased fails to actually check Kyurem in the long run, as its Body Press by itself lacks any power whatsoever to threaten Kyurem and thus will get PP stalled without any issues. This matchup could be better if Slowbro used Future Sight over Scald, which would force more Roosts and Substitute out of Kyurem, which can be exploited via Teleport as well. Also, although unrelated to this particular task, running Body Press without Colbur Berry is suboptimal since you miss out on Slowbro's potential to lure and KO other big threats such as Weavile.