Clicking a link should first check if the link is to another lemmy instance, and if it is it should attempt to open that post while remaining in this instance.
I think if you use Lemmy (and mastodon and other fedi platforms) through a client you can avoid this issue. I use Tusky and Pinafore for mastodon, but haven’t found a good one yet for lemmy
I’m seeing a lot of people having issues with accidentally getting bounced to the wrong instance. I have a friend who got confused and gave up on fedi I think because of the confusion from this same issue.
Using a client does help though