In general that's a good idea because you should never trust content coming from somewhere else (even in an S2S context)
For reference, NodeBB literally sanitizes the bejeezus out of what it gets from anywhere. All classes are removed, all attributes are removed. I want it as close to semantic HTML as possible, and classes/attributes mean absolutely nothing because:
I don't use the same CSS classes
Attributes may not follow my own rules for when and where they are added.
For example, Mastodon messes with any URL it federates out. It chops the anchor text in half, hides the rest behind invisible or something, and adds an ellipsis. invisible does something different in NodeBB, so there is a CSS conflict here. I strip everything and just show the URL as it was intended.