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.