Why do new services/platforms do incremental rollouts? I can understand they will have issues that need to be contained to a few users only, but that's the only reason I can think of.
As nation's try ever so hard to dynamite the Declaration of Independence of Cyberspace & exert control wherever their citizens travel online, the difficulty in figuring out regulatory compliance keeps skyrocketing. It gets harder and harder to figure out how to meet each nation's requirements. And one nation's requirements for police access might conflict with another nation's requirements for data privacy. There's no international order, and 195 nations and countless provinces each get their say in making everyone trying to have a point of presence on the internet's life difficult.
If they want to keep good performance in different regions, they may wait for local infrastructure to be provisioned/configured first. Sydney-London has a guaranteed minimum 300ms latency for example, so if you care about the app being responsive, you may not want to expose people to that initially. (Not saying this is important to Threads or that it's the case here, it would be more important for games)