On an individual ("you") level, the data mining is only a tiny bit concerning. Sure, Meta will hoard any sort of data that you share with the Fediverse, and then share it with its "business partners", so everyone can profile you, and then fly on circles around you, like vultures, with targetted advertisement. However:

• The amount of data that Meta can harvest from you this way is fairly limited. Because unlike in Facebook, Instagram or WhatsApp, they have no way to force you to yield more info about you than what you're comfortable with.
• This info is already publicly available, and Meta can already profile you, with or without Threads. And regardless of being in the Fediverse or elsewhere, you should be conscious on what you're sharing.

Even then, I like Macgirvin's take on the matter, on a collective ("the Fediverse") level. It's basically telling Meta "people here ara quite hostile against data vulturing, you won't get much out of it". It helps quite a bit against the actual threat - that Meta might try to Embrace, Extend and Extinguish the Fediverse.