Afaik Lemmy is a protocol used by a bunch of servers; lemmy.world, shitjustworks, lemmy.ml, etc. They're all (well, mostly) connected to each other, and each hosts various communities that any member can access. You can access it all through kbin, though kbin is different from lemmy. For example, this community is on lemmy.world, and you posted it here from kbin. I saw it and responded from kbin.

"All" gives you all the content your home server has access to.

I hope that's helpful. I'm still learning myself.