An external table is made up of a few things and the two most important are the location of where to get (or put) data and the other is how to take that data and parse it into something that can be used as table records. When you create the external table you are just creating the definitions of how it should work.
When you execute a query against an external table only then do the segments go out and do what has been setup in that definition. It should be noted they aren't creating a persistent connection or caching that data. Each time you execute that query the cluster is going to look at it's definitions and move that data across the wire and use it for the length of that query.
In the case of gpfdist as an endpoint, it is really just a webserver. People frequently run one on an ETL node. When the location is gpfdist and you create a readable external table each segment will reach out to gpfdist and ask for a chunk of the file and process it. This is the parallelism, multiple segments reaching out to gpfdist and getting chunks they will then try to parse into a tuples according to what was specified in the table definition and then assemble it all to create a table of data for your query.
gpfist can also be the endpoint for a writable external table. In this case the segments are all going to push the data they have to that remote location and gpfdist is going to write the data it was pushed down to disk. The thing to note here is that there is no sort order promised, the data is written to disk as it's streamed from multiple segments.
