During establishment of a dialog between two user agents, multiple proxy server may involve. But once the session/dialog establishes between end user agents, SIP signalling messages can be forwarded directly.
For example : There are two user agents named UA1 and UA2 and UA1 sends INVITE message to UA2. In a typical case, this INVITE message reaches from UA1 to UA2 by using proxy servers PS1, PS2, PS3 and PS4. UA1 has connection with PS1 and UA2 has connection with PS4. After establishing a dialog between these two user agents, message will follow the following path:
U1 <--------> PS1 <--------------> PS4 <-------------------> UA2
ACK, one of the SIP message uses the above path.