YSK: Browsing "ALL" at work might get you pulled into an office, even with NSFW off.
Why YSK: It appears several Lemmy Instances are flagged as suspicious and at least 1 instance intentionally using the name of ransomware. A couple of the big enterprise monitoring suites (Fortiguard, ZScaler) will flag your account and may end up with you being pulled into an office for an explanation, or worse.
TL;DR: Keep browsing to your local instance at work for now.
They might be referring to lemmy.zip. Imagine this email.
I've attached the invoice. invoice.zip
Many things will render that as a clickable link. In case it didn't, here is an explicit one. https://invoice.zip Go to this website. It explains the risks. In case it isn't clear, zip is both a common file extension as well as a top level domain now. This means that it is great for phishing.
But I'm confused why OP thinks this is a problem on all specifically. Your client only talks to your instance. Only Lemmy instances talk to each other. Your instance does all aggregation for you.