For those here who can't see it in their own instance, copy and paste the link into the search bar on your home instance and just search until it loads. It sometimes has to forcefully federate that thread.
Pretty cool, huh? I felt like I had cracked the da vinci code when I learned that. Not only does it forcefully federate the thread (if it hasnt already) it converts it like you said, also applies to comment links as well. It seems that some threads when a community is newly federated just don't automatically federate over, so you need to force it sometimes especially if there's a lot of content that's been posted since. Unsure the specifics but it's a lil wonky.