AFAIK, you can't load comments on posts manually. You only get comments that are pushed to your instance after someone has subscribed to the community containing the post.
Unfortunately I think you’re right. I tested it by trying to load the Lemmy post up on a couple of single-user Mastodon instances, and they failed to load it.
It looks like only Mastodon and PeerTube and maybe a couple others list replies alongside the post. It would be nice if more did because I’m relying on the feature for this project of mine: https://github.com/BentonEdmondson/servitor
The public links with post and comment in are used specifically for federation and can only really be used to build a hierarchy upwards. The use case for this probably will make it make more sense.
Say I subscribe to a remote community from my instance. I won't get anything specifically until an activity happens. The first activity I get is a like for a comment. But I don't have the comment. But luckily the like message has a link to the comment URL. So now I can fetch that. But how can I just show a comment out of context? I cannot, but the comment json tells me what it is in reply to. Maybe a post, maybe another comment. I can just keep fetching up the tree until I get to the post. Once I have all that I have something that can be rendered, the whole hierarchy from the liked comment to the post.
That's why it works that way. It's probably just to save on DB queries, why query the DB for all the comments if in normal federation use case it already has the comment(s) it wants if it reached the post.