You can actually, it’s what I’m doing right now. You just need to initially add the instance through the search bar. Obviously they could always have a whitelist, or remove the connection, but lemmy.ml doesn’t seem to do that right now.

This is what I’m doing, so far I’ve got a few threads from other instances where the comments haven’t been fetched, and it’s a bit of a pain to have to manually add communities you want to subscribe to. Still worth it though imo, it’s fun to have my own server.