I don’t think Lemmy does either…? It pushes updates to subs that at least someone on the receiving instance subscribes to (at least that’s how it worked last time I checked). That’s why there are scripts going around for new instances to automatically follow a bunch of popular subs to populate the All feed.
I think Mastodon works in the same way with users, where it sends updates for accounts that someone on the receiving end follows. So if nobody follows you from Threads it wouldn’t send any of your posts there.