Moderating across instances is buggy, unfortunately. Contact an admin on the instance you're trying to moderate and ask them to assign mod rights to your local account on that instance. Then things should work properly.
I had the same issues you are describing when moderating lemmy.world communities from this sh.itjust.works account. Pinning posts, adding/removing mod rights, receiving reports, etc. didn't work properly. I had to create an account on .world and get someone from that instance to give the account mod rights.