I expected that my reply would show on any other Lemmy server with subscriptions to !privacy@lemmy.ml. Does that make sense? I'm hoping to help troubleshoot federation like this as I'm super excited about ActivityPub and what it means for the internet! :)
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.
Ah ha makes sense now! The "Replying to comments" section of that article explains exactly what's happening. If I understand correctly the community itself (!privacy@lemmy.ml in my above example) is not notified of my reply from Mastodon. If the community did know, then it would broadcast a notification of the activity to whoever else is subscribed to !privacy@lemmy.ml.