They don't have to follow _you_. They do have to follow @dmpp. (I think this may be what you said. "You" seemed ambiguous. Sorry.)
No, direct messages are not in your timeline, but if you want to direct message someone, the rest of their tweets will have to be in your timeline. Using this service, you could direct message some people without following them, hence their tweets not littering your timeline.
Yes, you do decide who you receive direct messages from already. In context, that sentence meant "now that you've opened yourself up to direct messages from people you are not following, we do actually offer some level of control over what direct messages you receive."
I haven't decided yet whether this is useful to me personally or not. Nonetheless, I find it clever.