Is there a seamless way of linking to other instances?

For example, this comment links to another community on another instance, but when clicked on, you're not actually able to interact with anything on that community, because you're suddenly not logged in.

It's doesn't function like linking to a subreddit, and I understand that that's because of federation, but is there a better way of doing this? It seems... very stupid that linking to a page would suddenly "log you out" for all intents and purposes, while searching that same community wouldn't.

Does this make sense?