Others in the thread have already explained this bit of how federation works, so allow me to provide directions for how to bring an unfederated community to your instance.

On Lemmy:

• Click the magnifying glass at the top of the page to open up the search page.
• Search for the full url of the un-federated community that you want to subscribe to: https://remote-instance.tld/c/cool-community
• Lemmy will say that there are no results found...but don't believe it, just wait on this page a little longer
• After lemmy does some searching in the background, it should list the community below, now you can click through and subscribe to it.

On PieFed:

• Along the top navbar, click the Communities dropdown and select Add remote community.
• In that form you can either enter the full url (like in the lemmy directions) or you can use the ! notation: !cool-community@remote-instance.tld
• PieFed will reach out, find that community, and bring it over, letting you subscribe to it