You're not missing something, lemmy is missing the functionality.

You need to be logged into your own instance to subscribe. When you click communities, you can see comms from other instances by clicking "All" - however you will see everything. You can't even sort this list, you just have to scroll through or search. If you're looking to discover new comms, you'll have to browse elsewhere (eg go to another instance and look at their local communities) so you know what to search for from your own instance.

What we need is the ability to filter the "All" communities list by instance. That way you can browse things better and discover new comms to sub to.