Lemmy.World federates to potentially any platforms as long as they also use ActivityPub and are not defederated/defederating. However, compatibility may vary, and some rather sporadic cases from some tests I did outright wouldn't work.

And to my knowledge, it's not possible to connect accounts for them to behave like one. What is is having your accounts in different services follow each other.

Mbin, Peertube, Misskey and Mastodon allow that from my experience. I would presume other microblogging and video platfroms allow that too, though still have to test them.

And just in case, to clarify, Mbin (software) tries to act as a mix of threads (like Reddit) and microblogging (like Twitter and Facebook). The/Brain/Bin (my main instance) runs on Mbin software. Lemmy is focused as a threads platform, but you can't follow users directly there.