The EU may claim GDPR applies to all data of EU citizens no matter where in the world it is stored, but if the entity storing that data does zero business in the EU, there isn't much that can be done to enforce that law. Its the same as US law firms thinking their DMCA claims apply in other countries, etc.

Federated Lemmy instances operating in non-EU nations with no business/holdings/etc in the EU, are under zero obligation to recognise GDPR requirements unless otherwise required somehow to do so by their own national law (say a treaty agreement or the like).

The EU can no more demand or enforce global adherence to their data laws than the US can.