In short, yes this thing could kill.
While the average current at 400KV would be less than 30uA, it could potentially deliver 10mA at 1KV if loaded appropriately. Note - these are average currents, but the unit is described as being pulsed, so if the pulse equates to a 10% duty cycle, you could be looking at pulses of 100mA at 1KV.
The flow of electricity through the human body is not easily defined. It is dependent on a number of variables, but make no mistake - the ability of this device to deliver a fatal shock is real. Treat it with respect.