I thought you understood me but I see you didn’t.
NewPipe connects with Invidious, and Invidious use some servers as xxx…googlevideo.com (that’s why you can’t see this domain in the source code).
As I see that you need to see it with your own eyes I made a screenshot right now, I hope you understand it now:
Yes, I saw the link you mentioned and it uses Invidious:
<data android:host=“www.invidio.us”/
No, using a VPN in your smartphone is connecting with a different IP but all the trackers, Google, gps, etc in it will tell those servers who you really are (and also your permissions). But using a Proxy that you don’t use (Invidious use it and bring the result to you) is different. In that case it’s better to use a firewall and Tor browser, blocking all the other apps (even system apps).
Test youtube website or Invidious website (without the Proxy option enabled) and block googlevideo.com and the result will be that you can’t watch that video. The same with NewPipe.
You’re right, Invidious servers consume bandwith if you use this option.