Or does a self hosted lemmy instance federate all comments from all threads once it knows about a server?
Only in subscribed communities, but yes.
On the other hand, I don’t really trust Reddit with my upvotes/downvotes all that much more than random users, so I already refrain from voting on content I wouldn’t want to be associated with…
Of course, Reddit can still see what posts I view, while that isn’t the case for Lemmy (at least since I self-host an instance).
The PR hadn’t been reviewed and was merged by mistake, from my understanding.