Usually, when you open a website, that site might be pulling live data from somewhere, but it’s from a database on the same server. If you click a Fediverse link, and no-one else from your instance has already done so, it seems like your instance has to contact a remote site, pull the data and render it, in the same timeframe it would have to do so with local data.

To illustrate with some possibly-new-to-you examples:
[email protected]
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What’s your experience like clicking these? Does it go through first time?
I realize they’ll be people for whom these work first time no problem, and they’ll wonder what I’m complaining about. I’m not really complaining about anything really, I’m just wondering if my instinctive reaction has any validity.