Lemmy is just one of the software options that can be used to run independent websites that can optionally interact (“federate”) with each other via the ActivityPub protocol. Other such software platforms include Mastodon, Friendica, PixelFed, and PeerTube. All of these platforms, and the websites that use them, together make up the Fediverse.

• The Subscribed feed is just that: communities to which you have subscribed.
• The Local feed is populated by the communities here on slrpnk.net: https://slrpnk.net/communities?listingType=Local
• The All feed is comprised of everything currently federated with slrpnk.net. In practice, this is basically every community to which any user of slrpnk.net has subscribed. The All feed of someone on a different Lemmy-based website would be comprised of everything to which any user of that website has subscribed. (Communities only start to federate with other Lemmy instances when a user from the other instance manually subscribes, which is not a bad thing at all if you chose an instance with like-minded people. Just think of it as crowdsourcing the discovery of interesting communities.)