I played a bit with federation with Threads. Here's what I've found:
- You can't reply to Fediverse comments from Threads yet (this is noted in the Threads UI)
- You can like Fediverse comments from Threads
- Most plaint-text comments from Mastodon seem to federate to Threads without any problem.
- Comments from other Fediverse apps aren't always as successful (none of my comments from this account, on microwords, show up on Threads at all)
- Comments with any emojis (whether standard Unicode emojis, or custom emojis) don't seem to federate, even from Mastodon
- Only public comments federate (so unlisted, follower-only, and DMs don't show up there)
- If a threads replies to their own post, that reply will federate.
- Other replies don't seem to.
- Fediverse replies are on a separate tab in Threads from Threads replies, in other words, more second-class status.
- I haven't yet tested attachments, but I'd be surprised if they federate, since emojis don't even federate.
For reference, here is my post on threads, where you can see a single Fediverse comment, and here you can see the same post on Fosstodon where you'll be able to see replies that didn't federate.