The fediverse is a public forum. Everything you post and interact with is public, and every large digital ads company has been scraping public forums for about as long as digital advertisers have been scraping the web for anything. By defederating you aren't keeping anything secret from Meta, you're just siloing yourself off from interactions with their userbase (for better or for worse).

I think the decision whether or not to federate really comes down to user experience. Is the instance full of trolls who just harass and annoy? Block the heck out of 'em. But if it grows the fediverse and allows for more interaction, honestly I'm down for it. I hate Meta/Facebook for their terribe UI, poor moderation and data hoovering behavior. By interacting with Meta via the fediverse the only data they're getting is the exact same data they probably already scrape, but I can actually interact with normal people on sane terms

The Threads privacy policy for third party servers (quoted below) is extremely sparse, only collecting the exact same data any federated server would collect through federation

Information From Third Party Services and Users: We collect information about the Third Party Services and Third Party Users who interact with Threads. If you interact with Threads through a Third Party Service (such as by following Threads users, interacting with Threads content, or by allowing Threads users to follow you or interact with your content), we collect information about your third-party account and profile (such as your username, profile picture, and the name and IP address of the Third Party Service on which you are registered), your content (such as when you allow Threads users to follow, like, reshare, or have mentions in your posts), and your interactions (such as when you follow, like, reshare, or have mentions in Threads posts).