tl;dr the Fediverse is not great at UX of the cross-instance stuff, yet.
There's a browser extension to make cross-instance user following simpler on Mastodon (Graze); that means you can just click to follow a user from your home instance, on any Mastodon instance. I think the same concept could be modified to apply to subscribing to Lemmy communities between instances.
I think this is more of a general Lemmy issue than something specific to Lemmy.world, but I agree with your point that this should be easier!