Even if you and the instance you are using is blocking Threads your information still becomes visible to Threads if someone on an instance that isn't blocking Threads interacts with you. The interaction can come in the form of following, boosting, or mentioning your name.
Then the fear, according of the article, is for hate groups going out of their way to harass vulnerable groups.
They don't even need to go through a middle third party instance, they just have to have a ghost instance that nobody know it belongs to them and this one will federate with everybody else
For example if you go to FMHY federated instances, there is one called evil.social , that could be from Meta or Google or NSA... nobody knows
Threads has an influx of bad actors (right-extremist, anti-LGBT racists and any permutation) who intentionally target vulnerable groups on the FV.
You can't rely on individual blocks, including for the whole Threads "instance". If Threads ends up in a federation, everything else on that federation is now compromised because that's simply how public content works on AP. There's no real way around this without keeping Threads out of federation.