How to pair thread device with latest firmware?

That’s because it is a separate functionality. Matter support for Homey has existed for some time now, Thread support only since this week.

From what I can see, the Nanoleaf lights come in two variants: HomeKit over Thread and Matter over Thread. Homey supports the latter, and I doubt it will support the former (it also explains that you have an 8-digit pairing code, because that’s a HomeKit code).

FWIW, Homey is a Thread border router with the new firmware.