For instance, this one (link to a post to !memes@reddthat.com): https://reddthat.com/post/20260613
Pasting it in your search bar should give you this kind of results:
You can then click on it to access the post from your instance (in this example, lemmy.zip: https://lemmy.zip/post/16918691)
The default UI is how most new users will experience interacting with lemmy instances at first. So it’s helpful to create a better first impression. To the extent that this is built into the project itself makes it easier for other UIs to be created and maintained too.
I believe that the Lemmy devs are working on a better url scheme for posts and comments as well. This will also make it less annoying without any browser extension, script, or other third part service.