Just see the Call Flow on Page 12 of RFC 3261.

Page: 16
In this example, the ACK is sent directly from Alice's softphone to Bob's SIP
   phone, bypassing the two proxies.  This occurs because the endpoints
   have learned each other's address from the Contact header fields
   through the INVITE/200 (OK) exchange, which was not known when the
   initial INVITE was sent.  The lookups performed by the two proxies
   are no longer needed, so the proxies drop out of the call flow.  This
   completes the INVITE/200/ACK three-way handshake used to establish
   SIP sessions.

And if proxy needs to see all messages.
Page:17
   In some cases, it may be useful for proxies in the SIP signaling path
   to see all the messaging between the endpoints for the duration of
   the session.  For example, if the biloxi.com proxy server wished to
   remain in the SIP messaging path beyond the initial INVITE, it would
   add to the INVITE a required routing header field known as Record-
   Route that contained a URI resolving to the hostname or IP address of
   the proxy.  This information would be received by both Bob's SIP
   phone and (due to the Record-Route header field being passed back in
   the 200 (OK)) Alice's softphone and stored for the duration of the
   dialog.  The biloxi.com proxy server would then receive and proxy the
   ACK, BYE, and 200 (OK) to the BYE.  Each proxy can independently
   decide to receive subsequent messages, and those messages will pass
   through all proxies that elect to receive it.  This capability is
   frequently used for proxies that are providing mid-call features.
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