They’re already connected. It looks like you posted this comment on kbin, but I’m reading and replying on a Lemmy instance because I have subscribed to some kbin communities (or magazines) from this Lemmy instance. And you can do the same in reverse, subscribing to Lemmy communities from kbin.

I do find the connection between kbin and Lemmy instances seems a bit unpredictable compared to the connections between different Lemmy instances. Sometimes comments show up on kbin but not Lemmy, and sometimes the other way round. Maybe the synchronization is just slower and they’ll show up eventually.