It seems that (most?) apps have this feature integrated, where clicking on the direct link takes you there while still being interactive from your instance, but on desktop there's no automatic redirect. Currently using the exclamation point format works for linking to comms on different instances (eg !nottheonion@lemmy.world ), but there's no way to directly link a thread like that without using a 3rd party redirect like the lemmyverse.link site posted above.