This is mostly true.
However, it's worth noting that your home instance is uniquely positioned: it can see not only everything you send out into the fediverse, but also everything you read or subscribe to, so its privacy practices can still matter.
With that in mind, I suggest avoiding instances that run behind Cloudflare, which can see (and even change) every interaction you have with the instance.
You might also want to disable off-site images in your web browser (if you use Lemmy's web interface) and prefer an instance with a large image cache, because loading images that are hosted on other instances will leak your reading habits to those instances.
The fearful side of Chesterton's Fence.