The first time you take a character from level 50 to 60 in World of Warcraft: Shadowlands, you must go through their entire storyline, including all text prompts and cutscenes. This provides an introduction to all four covenants (Night Fae, Necrolord, Venthyr, and Kyrian) and allows you to consider all your options before choosing one group to join.
The Threads of Fate mode in Shadowlands skips a large portion of this process after you have completed the storyline with one character. While you will still need to finish the opening quest and get yourself out of the Maw, you have options when you arrive at Oribos and immediately see a dialogue box appear. You can run through the story once again, or skip ahead to covenant selection through Threads of Fate.
Choosing Threads of Fate enables you to gain levels and reputation through world quests, dungeons, and bonus objectives. This grants you much more freedom than the strict requirements during the Shadowlands story. You can take advantage of this any time you’re ready to take a new character through the expansion.