Follows work independent of which app you're using, so it works either way. Not an issue.

(Think of it this way: "I am following <username>" is a record stored in my own database, so it doesn't matter which app I click the button on that writes that record.)

On atproto your PDS and the appview you use are not linked. Your data is stored on your PDS and available to any app that handled Bluesky records.