If I interact with a Lemmy post via Wefwef, will it go to wefwef.app domain first and then to Lemmy or will it pass the request directly from my phone to the Lemmy Instance (s)?
Not true in all cases. Due to how the web security model works, unlike a native app, a web app running on wefwef.app cannot randomly access other domains. This includes contacting lemmy instances. This is the reason why they implement a proxy (see code here). From what I understand newer lemmy server versions do (or will soon) implement CORS which is a mechanism that obsoletes the requirement for a proxy and allows direct communication between web app and instance.
No problem, fella. I was worried about us overwhelming the servers of different Lemmy Instances. But proxy is still good. For instance, if I live in a country which is geographically distanced from the server, it will work fine regardless of my geographical distance.