There are under the hood data that is not displayed on the site which they can scrap. FB would be broke if they only rely on the FB posts alone without all the tracking everywhere. Even your movement on the screen or where you pause on the page are tracked.

So no they dont get all the data unless we federate them.

Its your choice as instance owner to do that

Visit https://fedipact.online/ to see a list of instance owners who will defederate their instance from Threads

Heads up: its a long list