Consider the level privacy of an interoperable / federated network is only as good as the node with the lowest level of privacy. The moment you connect to Meta infra, you're feeding it data, including but not limited to who you talked with, when you online, your message frequency, and possibly a whole lot more. Then they can start linking other bits to form a complete profile of you.
It is just slightly better than installing WA., and also part of tge reasons why many Mastodon and Lemmy server refuse to federate with Meta Threads.