I figured it out I think! The problem was that the link basically opened in a browser, and the browser has no idea what my Lemmy.world login is. My Lemmy App (Connect) has a search bar on the left side where I had to enter the community name and choose the right instance. IE there were 3 different Anarchychess communities with the same name, but the Sopuli instance was the "right" one. Going to the page trough the search bar allowed me to subscribe like I wanted.