This was discovered by Jim East:
https://slrpnk.net/post/27305276/18006810
I must say it fails the principle of least astonishment. If a user blocks Lemmy.World but subscribes to !linux@lemmy.world, for example, they obviously want to exceptionally see content in the subscribed community but nothing else from that node. But what happens is the instance block overrides the specific community subscription. So the general rule is prioritised above the specific rule.
And worse, when visiting the subscribed community it just shows no posts without reminding the user that they have a relevant block in place.

Right, which is why Lemmy should optimally implement some firewall-esque whitelist/blacklist system instead of the blunt tool that is in place now. Users would get the full/fine control over their feed that you want, but implemented in a way that should confuse no one.
With that said, the fact that you currently still see comments from users on blocked instances is definitely a bug. Regardless of the outcome of this (whether a blacklist/whitelist system is added, your suggestion is implemented, or Lemmy filters just continue working like this forever), that needs to be solved.