It’s one of the biggest flaws of Lemmy so far. The link actually takes you to the instance where that community is. You made your account on another instance, so it’s like trying to log into Gmail with Yahoo.

You have to search for the community link in your instance browser.

Now I can’t get into more details cause I’m in a hurry, but If you didn’t already look into how federation works. I hope someone will reply with a more complete answer