For instance, this one (link to a post to [email protected]): https://reddthat.com/post/20260613
Pasting it in your search bar should give you this kind of results:
You can then click on it to access the post from your instance (in this example, lemmy.zip: https://lemmy.zip/post/16918691)
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That's very different from what I think people generally want by default, which is that when you're on lemmy.world, it's because that's your home instance and any links to other instances would be automatically converted to the lenmy.world version of the post or comment by default (as long as the two instances are federated).
Anyone that wants more could find a browser plugin or script, but every new user with an account of any instance would have an initial experience that's much less confusing and more consistent and pleasant.
I haven't encountered that particular one in a while. Usually it's Lemmy links from elsewhere like Matrix or Discord or whatever that are annoying to deal with and needs redirecting.
Most apps seems to rewrite the links already just fine, at least Tesseract does. It's not like the default UI is known to be good. It's functional but the UX is terrible.
The default UI is how most new users will experience interacting with lemmy instances at first. So it's helpful to create a better first impression. To the extent that this is built into the project itself makes it easier for other UIs to be created and maintained too.
I believe that the Lemmy devs are working on a better url scheme for posts and comments as well. This will also make it less annoying without any browser extension, script, or other third part service.