TLDR: While Fediverse won’t directly serve you ads, anonymous bad actors other than Meta can save, redistribute, and even dox you for any information you post here. Anything you post here can/will remain forever on some malicious instance that doesn’t honor deletion requests. So be careful!
Each remote instance stores the posts from every other instance’s communities, from the point at which the first person viewed (…or subscribed to…?) that community on the remote instance. That way the instances are less dependent on each other’s uptime and can optimize their queries, giving a better user experience.
Btw. this also means that there will always be some delay before posts/comments from one instance show up on another.