@tamlyn has pretty much answered the question, but yes this is how federation works to stop instances from unnecessarily pulling data from communities nobody has subscribed to yet.
Once you've searched for and subscribed to the community, it will then federate with the server and all should be good! I'm sure you've seen that Lemmy.world has had a fair bit of downtime recently so just be mindful that having a community there, and Lemmy.world going down, may cause issues with federation, at least until the devs can implement fixes to the lemmy software.