all your requests go to your home server. When you search for a community on another server, your home server (in this case lemmy.world) will do the magick behind the scenes: find the right lemmy server, find the right community, grab the core data and show it to you. It will also remember that you are interested in that foreign server/community and will index it locally. Your requests will still go to the local server and it will do its best to pre-cache as much as possible from remote server for you.

according to https://sitereport.netcraft.com/?url=http://lemmy.world it is hosted in Finland (by its IPv4 address) or in Germany (by its IPv6 address).

Owner of this netblock of addresses is Hetzner Online GmbH, a German Hosting company