In the video, the guy shows that, by tethering, he can access Hulu even though he's not in the US. So, yeah, it seems they proxy everything through their servers.
If everything has to go through their servers and then downloaded by the Mac/PC, then it basically defeats the whole purpose of tethering.
The real trick is that they found a way to pipe data from the iPhone to the Mac without going through the internet, all using a good ol' browser web page.
