It doesn’t really matter. The only data they could ever access is publicly available. Federating with them doesn’t give them private or personally identifying data. The only way they could get private data (or serve you ads) is by convincing you to use Threads. Your privacy isn’t dependent on the good intentions of remote server admins.
Federate with whoever you want but if you’re defederating to keep them from getting data that you’re making public and literally anyone can access with RSS, it’s… not a great reason. It’s an effective way to make sure you don’t have to interact with their users but it won’t turn public data private.