I'm also not quite sure of how it works yet but at least the first part is correct i think. The full link worked for you because its to the instance your account is on. When i use that link (on the desktop website) i get redirected to that site but i don't have an account there so i cant interact with it on this account. Similarly: if I link https://lemmy.blahaj.zone/c/antiquememesroadshow@lemmy.world it will work for me without problems but you should see a website where you aren't logged in (at least using the website, mobile apps might handle it differently i think).

(Although i have no idea why the exclamation mark link didn't work for you, it did work for me at least. Maybe its the app you are using? I remember that for example some old jerboa version had problems with the exclamation mark links where it would just crash when you tried to use them.)