Only real threats of Threads federation are EEE and server overload. Not the people from there or privacy. If someone wants to see some content you don't want to see, like some opinion you don't like, they should be able to see it. I don't understand why there would be such list, it would be pure censorship and waste of time. I have heard Threads has a pretty good moderation, so that solves this problem anyway.
I don't get what would defederating with Facebook-federated instances gives you, though.
Most sites still send domain name in clear text. You can see it in Wireshark or PCAPDroid. You need VPN if you don't want your ISP to see the sites you visit.
https://blog.cloudflare.com/encrypted-client-hello/