Think of an "instance" as a server (or servers) where Lemmy is being hosted. So, lemmy.world is hosted by one entity while lemm.ee is being hosted by another. They just have different servers, but they can interact with each other.

When I did that last year before their API change, they restored all of my comments, but just didn't put them back in the comments section of my profile. I only knew when I ran across a comment with my previous reddit handle by accident, one that had been deleted. They know what users are trying to do, so won't let it get in the way of profits.