PI 7.1 (SAP)RFC to (SAP)RFC scenario. Sender system and Receiver system RFC settings?

When I am creating a PI RFC to RFC scenario, from Source system to Target system, do I have to create an RFC connection (SM59) from the Source to the Target system.

The reason I ask is that surely I just need an RFC connection from Source to PI, and then an RFC connection from PI to the Target system?

The RFC will be going from Source -> PI -> Target, so I don't understand the tutorials I have read which say to set up an RFC, and Partner Profile, and Data distribution model, between the Source and the Target system when it is going via PI?