This is normal (as far as I know).
Lemmy federates one community at a time. If you are the first person to search for the community, it will say there are no results. If you wait about 5-10 seconds, it often will pop up. Or once you refresh the page you can search and find it. I presume this is just the time needed to contact the other server and download whatever is needed.
As the instance is still small, and as other instances are rapidly growing and adding new communities, you'll likely often find you are the first person to add the community. But once it's added, it's now federated with us and so future searches (by anyone on this instance) should be quick.
Edit to add: I believe federation can only be triggered by a logged in user, so if you search while logged out then it won't attempt to federate.