I used one that was close to my VPNs exit location, lemmings.world.

I absolutely agree. Find a small instance federated with the big Lemmy communities (Lemmy.ml, Lemmy.world, beehaw.org, etc...) + material theme on Jerboa is honestly better than any Reddit client (and the main app obviously 😆).

Yeah Threds is supposed to have federation (activepub) support. Pretty clear EEE attempt to kill federated services by Meta.