Well if they can create a docker image out of it, you should be able to install it on a VM.. but I run it in Docker because it makes everything so easy manageable...

Docker is not necessary, lemm.ee for example is running without docker!

Here is documentation for setting it up: https://join-lemmy.org/docs/en/administration/from_scratch.html

Of course you can fully adapt it to your own use case. The Lemmy backend is a single binary, you don't even need to build it on the same machine which will run it. There's no hard requirement to use nginx or anything like that either - if you understand what this guide is doing, you can replace all the unimportant parts as needed.

It is possible to do it without docker... but nobody recommends it :)

There is a how-to on how to set up your own instance without docker using ansible: https://join-lemmy.org/docs/en/administration/install_ansible.html

Technically no, but they put all their update info and support for docker.