If you're a firefox person, there's an add-on called Peertube Companion which will convert peertube links to use your instance. So for me, that link takes me to peertube.wtf rather than peertube.gravitywell.xyz

Apparently it will also redirect you to your peertube instance when you watch a video on YouTube that also exists on peertube (I've never had this happen though! Not sure how it does the comparision - hashes I suppose?)