Depends. You knew that was coming, right?
What version of PrPro are you on? If you're on CC, you have the option to take any timeline project over to SpeedGrade, shot-match & grade the cameras there & apply then save & return to PrPro.
On either the ol' CS6 version or the CC versions you can do color correction within PrPro if you find it's tools satisfactory ... whether 3-Way Color Corrector, Fast ... or the several other such tools available within PrPro itself.
In both the above options, as you're not involving any proxy or other such patterns, yes, it's applied directly to the way PrPro "sees" the clips. You can of course use an outside grading program like Resolve if you wish, sending instructions via XML or EDL outs ... with proxies & all. There are people of course still doing this process, and some around here that know this well.
Neil