I see, well I guess the real question is whether it can be improved at the server/protocol level and my answer is I don’t know. There’s some handshaking that clearly has to occur between your instance and the other instance to load the initial community state and I don’t know where that process can be optimized. I think I’ve seen people mention tools that have been created to automatically subscribe a dummy account on your instance to all the communities on the largest instances to kind of bootstrap the process for other users, but I don’t have a link to such a tool handy.
Edit, and there’s never going to be a guarantee that your server can talk to their server until you try clicking the link because the other server could be overloaded, down, or blocking your server.
If you want to learn a little bit more about Lemmy, this docs page on join-lemmy.org is a pretty good primer.