The former Arsenal, Scotland and Parkhead star outlined the consequence of not overturning last week's 2-0 defeat to Royale Union Saint-Gilloise in the first-leg of the Champions League third round qualifier.
Rangers host he Belgians in the second leg knowing they need to “produce a big performance” to reach the play-off round. There they would have to navigate past PSV Eindhoven or Monaco to make the group stages where they would join rivals Celtic.
"If they fall at the first qualifying hurdle then the manager, players and board would all come under scrutiny,” Nicholas said in his Daily Express column.
"The scary problem for Rangers is that Celtic are already guaranteed a windfall of tens of millions after going straight into the Champions League group stage, and that will allow them to flex their financial muscle again.That is why tonight is such a big game.
"Rangers beat better teams than USG during last season's run to the Europa League final, so that should give them hope. I think Giovanni van Bronckhorst's side will come through, possibly in extra time, and the crowd will play a significant part in shaking up the Belgian visitors.”
Nicholas doesn’t believe Alfredo Morelos will start despite Saturday’s goal scoring exploits in the win over Kilmarnock but reckons Steven Davis should be handed the key to the midfield.
Further back, he has suggested Van Bronckhorst will need to enter the transfer market for another goalkeeper despite having three first-team goalkeepers.
"Jon McLaughlin was at fault for the first goal," Nicholas said. “That is acceptable - goalkeepers make mistakes or they keep you in the game.
"In fairness, McLaughlin made a couple of top saves after it. Still, it brings me back to the question I raised a few weeks ago, which is why have Rangers not signed another goalkeeper yet?
"We know Allan McGregor is no longer the answer and Robby McCrorie is clearly the third choice.
"McLaughlin is good enough domestically but is he a top keeper in Europe? I would be surprised if Rangers don't bring in a new goalkeeper before the transfer window closes at the end of August."