sendmail will recieve incoming for the specified domain and send mail out to the net.
Fetchmail is used to get mail from another server (different from recieving, more like using outlook to check your mail.. bad compairison, but its close enough). If you're planing on seting up a mailserver, i suggest you install postfix or a different mail server. Sendmail is natorious for being hard to setup / administrate.
Sending mail goes like this
[person composing message] --SMTP--> [MAIL SERVER] --SMTP--> [END DOMAIN]
Having the messages go through other servers would be a security risk, since it would give multiple chances for somebody to intercept the message.