The request first arrives at the LAN interface, but shouldn't LAN interface pass the request to WAN ? (just like any other website you go to, those requests get past to WAN and to ISP) So the WAN should also get the request. Is this not true?
What request?
1. Suppose an access to the IP address of the DMZ server. That will go out the DMZ interface.
2. Suppose an access to the IP address of the hardware interface that is the pfSense WAN interface. That addresses the pfSense box itself so goes no further - it does not go out the WAN interface in the hope that the upstream router will loop it back and hence it is not received (seen by the receive input) by the hardware interface that is the pfSense WAN interface.
Does that answer the question?