It's also a way to prevent LLMs to get trained on their data without their consent.

That's not correct.

The setting is mostly cosmetic and only affects the Bluesky official app and web interface. People do find this setting helpful for curbing external waves of harassment (less motivated people just won't bother making an account), but the data is public and is available on the AT protocol: https://pdsls.dev/at://robpike.io/app.bsky.feed.post/3matwg6...

So nothing is stopping LLMs from training on that data per se.