Lemmy itself is also part of the larger “Threadiverse” ecosystem: the part of the fediverse that deals with threaded content in a forum-like structure (like Reddit basically). Lemmy is one software interacting with this, but there are also other alternatives like Piefed and Mbin. Since they all use the ActivityPub protocol they are interoperable - which software you chose doesn’t matter. The common analogy people tend to use is email providers: Hotmail and Gmail and Proton are all different, but you can register to any of of them and talk to people from all the others.

The instance you choose does matter, as each one will have its own moderation policy and defederation list. Defederation is a tool instance admins can use to shut off communication with another instance - for example blocking dedicated NSFW instances or instances that have different philosophies on content and moderation.

For the most part the biggest instances are all federated, so it’s not something you need to worry too much about for now. Down the line, it’s a good idea to shop around for an instance that suits your personal preferences.