Hi anonymous user,
To answer your questions:
1)The request go via the on-premise server.
2)Web front end server will integrate with Client to access the SharePoint app store.
For your issue, please use Fiddler to find any clues like this:
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Hi anonymous user,
Please check is there any firewall restriction that block the connection.
More information to troubleshoot:
https://bobcares.com/blog/502-connection-failed/
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