Isn't this like browsing any website? Each instance is a website. Browsing the website will give them your IP address. You can see, that the current content ist coming from another instance by checking the name (though I don't know if every app shows the instance in that way). And as Lemmy is a Link aggregator (to my knowledge) it will provide links.
But of course we can discuss if lemmy instances should proxy all interactions with other instances. Coming with its own problems.
The average user only uses what is already in their devices or very easily obtained and already known by them. On PCs you got Windows and Microsoft of course pushes their products (Edge, MS Office, OneDrive,...). On Smartphones you have Apple and Google controlling the devices way more than with PCs and being Gatekeepers through their appstores and preinstalled apps. Why would the average user try to research to find FOSS alternatives in that big pile of proprietary and monetized apps or jump through hoops to actually use them (keeping things FOSS is not easy on smartphone due to policies from google and apple)? The big players are controlling the market and they try to only allow FOSS when it benefits them.