I just ran into this same issue because I couldn’t figure out why I had a “My Threads” thing visible in my side navbar:
I thought it was a bug (after having read this topic which said that it shouldn’t be showing up unless I have threads enabled), but then I dug into my DMs and found that my most recent DM had threading enabled. I’m guessing that this was on by default because I wouldn’t have chosen to have it on.
(It’s kind of a separate thing, but if threads are turned on and it shows up in the navbar, it might make sense for it to appear below "DMs” instead of so high up.)