Lemm.ee servers are not hosted in the US and therefore not subject to US jurisdiction.

As others have pointed out, information on Lemm.ee-your posts, comments, profile info, etc. are both public, and federated with American instances.

What information you consider sensitive is dependent on your circumstances and your threat model, but generally I would avoid posting anything you deem sensitive to lemm.ee, due to the public nature of federated media.