It's far less dangerous than using Threads

As long as they don't ask for your phone number, ID and you don't expose yourself. You'll be fine.

The data that you entered into lemmy is stored: username, password, email (optionally), posts, comments, etc. Assume instances keep logs of all the API requests they get from any given IP. This is the case with nearly every website.

If you don’t provide email and lurk then I don’t see much of a concern. You can always use a VPN if you want more anonymity.

I would assume that all data possible is gathered and stored somehow. For all intents and purposes, this is a public forum. Specific instances might deal with data in different ways, but the nature of federation is that your data is passed around and viewable by others.

You have very little privacy in the fediverse. I think this will need to improve to be honest.

Perhaps a combination of Fediverse + Tor/I2P will be the future and people would rotate their accounts every few weeks or months.

A good app could even support all of this on the background, including letting you reply to messages with your old account while making new posts and comments in your new account.