Check out this comment thread: https://lemmy.world/comment/22210
Basically, when you subscribe to a community you're asking for your server to get FUTURE updates posted to that community. You do not get historical backfill. So yeah, posts initially show up without comments because you're missing the old ones and haven't yet received any new ones. If you wait a while, you'll get the comments from the beginning on newly created posts made after you subscribed.