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I stand corrected. However:
Neither Jerboa, the first app on join-lemmy.org and the one by the Lemmy devs, nor Lemmy.World’s own web interface gave me this option. I downloaded Thunder, Voyager, and Sync, and only Thunder gave me that as an option. When searching how to block instances, the top results are that you can’t (at least on DDG).
So, unless I’m being incredibly stupid right now, I can block instances, but only if I use a specific app, or perhaps choose the “right” instance. That’s still very bad UX.
Edit: after using Thunder for a bit, this blocking clearly does not extend to users. So if I block instance A, but then a user from instance A posts on a community on instance B, I’ll still see their post. It seems Lemmy loves wack a mole.
Does this extend to users? Currently, blocking on Lemmy.World with Thunder, if I block instance A, and a user from instance A interacts with instance B, I see that interaction.
Mastodon et. al. block everything coming from that instance, unfollows everyone, the whole nine yards. So far, I can only block the communities for sure, and have to continue blocking each user I come across.