Yeah, I gather that you can follow a Lemmy thread using mastodon, if awkwardly. I figure it would be what doing it from Threads would be like - definitely not something the average threads user will be interested in. I think the conversation would be more about Threads being a fair player and not making Mastadon a second class citizen, but there is already a planned feature to limit interaction with federated users:

Another unique aspect of Threads that many have been anticipating is the way it can connect to federated social networks like Mastodon (collectively known as the “fediverse”). It seems that Threads may not be ready to launch its fediverse features right away.

Soon, you’ll be able to follow and interact with people on other fediverse platforms, like Mastodon. They can also find you with your full username @username@threads.net.

The only other detail we could uncover about Threads’ integration with the fediverse is that if you choose to restrict replies on a post, it won’t be shared outside of the Threads app.

When you limit replies, your thread will not be shared with your fediverse followers.