Sorry for re-posting, but forgot to put 'Re: ' in message.
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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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