Lemmy communities are "groups" in ActivityPub parlance, and groups do exist on the microblogging platforms. Using Mastodon as an example for now, a Masto user could find the group equivalent to a Lemmy community and make a post and/or comment there and it would show up on lemmy.world and anybody else who federates with that Masto instance. In reality, the groups experience is kind of terrible and a poor interface to these thread-style communities, and you lose all kinds of features like the recency/score sorting algorithm, the ability to downvote things, etc.
It would take a true masochist to post to lemmy.world from Mastodon, which is why you almost never see it. I've seen one Mastodon user in my time on the threadiverse so far. Most people who are already on the microblogging side of the fediverse have just chosen to register a separate account on a threadiverse instance so they can have an actual usable interface rather than stuffing a link aggregator through a blog-shaped hole.
Groups don't even exist on Threads currently. Maybe they will by the time they implement ActivityPub, but they may not consider that to be a core goal as a microblogging, Twitter-style platform which has no obvious use for them. This would currently make Threads an even worse interface to the threadiverse (kind of ironic) than Mastodon, which I can't stress enough is already awful. You would just have to search for individual posts by browsing somewhere like lemmy.world directly, copying and pasting the URLs into the Threads app or web site to populate the conversation in their interface in order to reply to the posts and comments there.
In short, using Lemmy via Threads is probably going to be such a nightmare that only turbo-nerds will try to do it, and turbo-nerds are more likely to realize "This is awful and I should just go join Lemmy or kbin or something," than persist with that hassle long-term. Now, kbin users have more justification to be concerned about how Threads will impact their communities, because kbin supports microblogging directly--in corporate terms, it's like if Reddit and Twitter combined into one site that you could tab between on the fly. This means kbin users will be more likely to see Threads content and vice versa.