Security/Privacy via apps

I have channels DVR server installed on a Windows 10 PC. That PC uses a VPN to connect to the internet. Please help me understand what happens when I use a device, such as a firestick, on my network to watch a live internet tv source (e.g. pluto.tv) that I have in Channels. Does the Channels server connect to the internet source through the VPN and then feed it to the firestick, so no information is ever exposed outside the vpn? Or does the Channels server tell the firestick the IP address of the internet source so it can connect directly, thus bypassing the VPN on the server PC? And does the answer change if I am using my Android phone channels app away from my home network connected to cellular data?

Thank you for any help understanding the path the data takes and what information may or may not be leaking about what someone is viewing.

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Data travels through the DVR, so if the DVR PC is using a VPN it should work as you expect.

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