You can read up on the conversation on the GitHub issue here.
TL;DR: the current system on the (unreleased) 1.0 codebase is that your Lemmy instance will replace all Lemmy URLs in posts/comments with the equivalent URLs on your own instance. In the issue I linked, some concerns are raised about this system and various other options are discussed. It’s possible that the way it works will change before Lemmy 1.0 is released.