TLDR: Not a bug, feature; Or works as intended:)
...but few-to-none of the comments/votes did. Everything since subscribing is entirely in sync.
That is by design, if every instance automatically synchronized (federated) every post and every comment from every other instance ...the whole fediverse would explode?:) well it would at least require a loot more resources hosting any/every instance.
As for the "loading history", if you take a true url[1] of a post or comment, insert it into the search bar of your instance, it will load it (and it will be visible in the corresponding community). One problem are votes, afair lemmy does not even offer a mechanism to let other instances see all historical votes, do not confuse this with votes that are already federated, the moment you subscribed is the moment the instance hosting that community started forwarding everything happening from now on in that community to lemmy.ml (your instance).
[1] - true url here means from where the resource originates/which instance is hosting that comment/post/community; You can find it as the little fediverse button on each non-local resource (comment/post/community).
E: I see others beat me to it haha
Weird, did not load at all or just got stuck ?