Tldr this isn’t really anything new for Mastodon. If you link to a website in your profile, you could verify you own that website (or are a representative of it, ie writer for news or a blog) by having that site link back to your profile with a special rel="me" attribute. The new thing is that Threads now also supports these links, so linking your Threads account on your Mastodon account can show you have verified that you own that Threads account. This also works with any other site that supports rel=me links for verification.

I agree with all y’all that Threads is EEE, but I think this particular feature is a really good thing and I’d love to see more sites implement this as a really simple way to cross-verify (ownership of) accounts