I was surprised to learn how little the domain as user name feature actually means, after setting it up with my bridged account.
The real user names on Bluesky are called DIDs. Different URLs can point to a DID, making your profile discoverable through this URL. By default it'll be username.bsky.app (or username.instance.bsky.brid.gy), but as long as the URL redirects to the DID it could really be anything.
Several such redirects could be active, but you choose one to be the "official" one that shows up on your profile. People don't follow your domain though - when they interact with you, they interact with the account associated with the underlying DID.
It's basically just smoke and mirrors for what is still a very centralized service.
It is still, of course, more decentralized than Twitter, as one can post there through the bridge without having an account. So that's neat. But the whole domain thing is deceiving as hell.