As far as I can tell, this is only an issue if you're the first one from your instance to subscribe to that community in the other instance. This is because your instance has to tell the other instance to start sending new posts its way. As well as any other subsequent updates. Lemmy instances work on a queue, so it may be a while before the other instance gets to that request if they have a lot of load.

EDIT: This doesn't seem to be just for the first person to subscribe. I guess so that the list/count of subscribers is accurate every subscription does indeed make a server-to-server transaction. The rest is accurate, though, your instance will have to tell the other instance to start sending updates over.