Not sure if Lemmy is the same, but my understanding of the fediverse structure was that if someone subbed to a magazine/community on another instance then it would show up in All for everyone logged into the same instance. On kbin I have never needed to sub to anything on lemmy.world or beehaw or whatever because someone else subbed to it first and it just shows up on my All feed.
A mild example of blocking an instance would be if there was one that was entirely in a language I don't know then I have the option to block the instance instead of playing whack a mole with each magazine/community to hide the content that I can't read.