There is more friction when you try to subscribe across the fediverse, yes. When you subscribe via federation, your home Lemmy has to pull the content in. (This is an interesting view, as far as I can tell its all the communities that accounts here have subscribed to.)
On some level the best approach would be to put your account on a big Lemmy so all the communities there are preloaded from your account, while you still have the option of subscribing to communities on other Lemmys and pulling them in.
That said, there are already apps and browser extensions that manage this for you with Mastodon. Here's one example. This just makes it so "Subscribe" buttons on other Mastodons work by doing the extras steps for you. It's only a matter of time before utilities like this start materializing for Lemmy. (They may already exist.)
I didn't grok this is how federated subscriptions would work before joining here (although in retrospect and as a Mastodon user, it's obvious) so like you I'm a little bummed out. But upon further reflection, I'm good with dealing with these inconveniences until extensions, apps, and Lemmy itself starts to alleviate them in software if it means I get to beam into other Lemmys as "GuyFleegman@startrek.website."
Star Trek 6 please and thank you