There's a small privacy aspect present since that other server sees your source and destination trying to start a connection, but all the real traffic is direct, peer-to-peer.
That's not the case. Unfortunately, Teredo requires relay of all data in the tunnel. There's simply no guarantee that an IPv4-only host has a direct, peer-to-peer path to and from an IPv6-only host, as is the case here in the original question.
Teredo will probably work as a proof-of-concept, but for anything requiring more than a trickle of bandwidth a dedicated tunnel (Hurricane Electric or Sixxs) would be a better idea.