You do realize that instances federating with Threads will share data with Threads, and that Meta’s supplemental privacy policy specifically says that they’ll use all activity that federates to meta for tracking and ad targeting, right?

So for example, if you’re on an instance that federates with Threads, and somebody on Threads is following you, all of your posts – including your followers-only posts – will get tracked by Meta. Or if somebody who boosts your post and they’ve got followers on Threads, your post will be tracked by Meta. Or if you like, boost, or reply to a post that originated on Threads, it gets tracked my Meta. And these are just the most obvious cases. What about if somebody on an instance that’s not Threads replies to a Threads post, and you reply to the reply? It depends on the how the various software implements replies – ActivityPub allows different possibilities here. And there are plenty of other potential data flows to Meta as well.

Of course they’re still just at the early stages of federation so it’s hard to know just how it’ll work out. Individually blocking Threads might well provide a lot of protection. But in general, instances which federate with Meta will almost certainly be tracked significantly more than instances that don’t.