It's like email. When you create an email account, you also choose a provider like Gmail or Yahoo. With Mastodon, you choose a server. You can follow and be followed by anyone regardless of which server they're on. Just like you can email a Yahoo user from your Gmail email account.

There are two main criteria why you should prefer one Mastodon server over another:

1) You are looking for a niche community, and Mastodon offers a "local" feed of all the users on a server, so this is helpful to discover new accounts to follow in your niche interest

2) And / or you care about privacy, trust etc. and want an organization that hosts the server that you can trust.

But it's easy to switch from one server to another without losing followers or followees, so compared to email, much simpler. So, you can't really choose a "wrong server".

Now, I can understand why this can be confusing for people who are only used to centralized social media platforms. In the end, it's just something new for a lot of folks, but it's not a complicated or difficult concept to grasp.