Yes they do to one degree or another that I'm not certain of. You definitely see all of the local (ie lemmy.world) communities and the communities you've subscribed to from other instances on the all tab. I think you actually can see content come up from any community from other instances that lemmy.world is federated with whether you have subscribed to them or not (ie, lemmy.world and that instance both have their settings such that lemmy.world users have access to that instance's communities. So for example you wont see content from the weird nazi instance because lemmy.world has defederated from them.)

Actually now I'm saying this I think it might be more subtle still. I think all shows everything from lemmy.world plus any community from a federated instance that a lemmy.world user has interacted with.

So if lemmy.world is federated with lemmy.madeup but noone from lemmy.world has interacted with their content yet they wont show up in all but once lemmy.world users have visited !madeup@lemmy.madeup and !catpics@lemmy.madeup then the c/madeup and c/catpics communities from lemmy.madeup would then show up in lemmy.world's all feed. I'm like 80%+ sure that's how it works. I'm still learning too!

NB: I will try to revist and clean up this comment once I'm 100% certain of how it works.

I believe only if you subscribe to them in the "Communities" tab and you select "All" on the Instance type