One way to ensure your comment to federate the way you are expecting is to mention the original group (community) of the thread. This way, Lemmy will receive the comment on the group’s inbox and propagate to all federated servers.
Another behavior I found is that replies to non federated comments (as the one you showed in the op) will be announced to all federated servers. More details I found here: seb.jambor.dev/…/understanding-activitypub-part-2…