Lemmy.world is a server running lemmy software. It's federated so you can subscribe to lw communities of Mastodon and comment as well. Threads and Mastodon don't support communities though so all they can do is subscribe and comment. There is no negative to lemmy servers of Threads being federated. Threads users will subscribe to lemmy communities, but stay on Threads. If you're on a lemmy server it doesn't change anything. You'll just see posts and comments with accounts ending with @threads