Here's exactly what it means: Someone at Facebook, when creating the listing for the Threads app on the appstore, told Apple that the app might possibly collect Health data (etc). These labels are entirely based on self reporting by the person doing the upload. That's it, that's the entirety of what these privacy label things mean: the company making the app has made these claims about what it collects.

In this case Facebook appear to have simply ticked every possible box for data collection regardless of whether the app actually does it or not. Note you can't just get health data on iOS without asking, so people would notice if they tried. My guess is that actually figuring out what they do/don't collect was too hard, so they just said yes to everything.