Does it matter which Lemmy I'm in?

I'm in Lemmy.world, but I've seen there are others. Do I have to switch in between them (if so, how?) or is it fine the way I have it?

Thanks a lot.

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I can see other instances but somehow I can't subscribe or comment to a community from another instance beside .world? Idk.

yes, you can! you just have to search for "all" instead of "local" under Communities!

Some instances aren't connected for various reasons. What instance?