Personally I think this is ridiculous.
First, there's the simple fact that Lemmy's interaction with Threads will likely be the same relatively rare/limited interaction we currently have with Mastodon. People might show up to comment from time to time, and we'll be able to @mention their users. But that's about it. It's not a serious issue for Lemmy instances to be concerned about.
But second, I think pre-emptive defederation here, regardless of whether we're talking about Lemmy or Mastodon instances, is ridiculous. If they start doing bad things, it is trivial to defederate at that time. If they don't, we're much better off letting them participate and benefit from the increased number and variety of users with whom we can interact thanks to their participation in the fediverse.
Don't fall for FUD when there's an opportunity knocking.