Yes! This is the coolness. And in theory Masto comments should show up on Lemmy threads (haven't tried yet)
Mastodon however kinda doesn't know how to handle Lemmy community traffic (yet). For one, it treats all posts and comments as boosts from the community "user". And they come as a big wall of posts, there's little to no threading done.
But for a start at demolishing the walled gardens, its pretty good. :)