For now! The bluesky URL contains "itch.io" (their handle), and under atproto, DNS name resolution is actually an integral part of handle resolution. It will start 404ing if/when relevant caches expire.
This one uses the "DID", not the handle, and will not 404: https://bsky.app/profile/did:plc:oy37ivqnriw6nx3lrbcht2u3/po... (cc dang)
Open issue regarding making bsky URLs less fragile while also not looking ugly: https://github.com/bluesky-social/social-app/issues/1221
I think GP comment meant that when you link to a Twitter thread, logged-out users will only see the single post without any replies. On Bluesky, you can see the whole thread.