Lemmy is adding the tags in the activitypub metadata which mastodon then correctly reads. The tags don't need to be in the text of the post for mastodon to parse them (neither do the reply usernames for that purpose). It's just that in your normal mastodon interface, it only parses things from your text, so you're used to seeing it there.
EDIT: In this specific case, you're seeing it in the #adhd tag, because it's tagged like this for being posted in the !adhd@lemmy.dbzer0.com comm.