You're in lemmy.ml, so you can still see lemmy.world posts and comments. lemmygrad.ml users cannot interact with lemmy.world users at all.

Every post or comment is first hosted at the user's instance. So, even though you're from lemmy.ml and commenting in a lemmy.world thread, your comment itself is actually hosted at lemmy.ml first and then federated everywhere else. Similarly, if you were to make a post in a lemmy.world community, that would be hosted at lemmy.ml first and then federated to lemmy.world, even though the community itself is in lemmy.world.

This means that in order to see content you must meet 3 criteria:

1. You must be federated with the instance of the community.
2. You must be federated with the instance of the user making the post.
3. You must be federated with the instance of the user making the comment.

Where it gets interesting is when there's a third party involved. So, if a lemmy.world user were to make a post in a lemmy.ml community, then a lemmygrad.ml user would not be able to see it - even though lemmygrad.ml is federated with lemmy.ml, and the lemmygrad user can see the community, they will not have the post federated to them as the federated post is in an instance they cannot connect to. Similarly, if a lemmy.ml user made a post and a lemmy.world user commented on it, then the lemmygrad.ml user would still see the post but not the lemmy.world comments. It gets a bit janky, the website doesn't let you go down the tree from the first missing comment, but apps might give you some of the comments beneath that were still federated (the same as when a user deletes their comment). You get that "5 more replies ->" thing but when you click it doesn't expand.