When and where do the instance content rules apply?

I'm confused about where my content is stored and therefore when to apply the rules of my instance. Let's say for example that an instance says that NSFW is strictly forbidden. Which of the following is permitted then?

• Can I subscribe to NSFW communities? Doesn't this make their server pull the content?
• Can I post NSFW content on communities hosted elsewhere? Does this cause their server to host the NSFW content? It looks like images I upload are stored on the local instance.
• Is a private message stored on the instance and subject to the rules? Do we have to follow the current instance, the remote instance, or both during the conversation?

I've been assuming that it only applies to local community content, but I'm not so sure if that's correct because I depend on the instance to provide all the content (I think).