The relationship between the Milky Way and the stars

The Milky Way is a very special thing. We're in the galaxy itself. You may not understand the word "projection". Let's just say, it's like you're in a bathhouse, surrounded by water-so is your position relationship with the Milky Way.

Regarding your question "There are so many constellations in the Milky Way, and constellations are made up of many stars", you can understand it like this:

Stars in the same constellation have nothing to do with each other. They watch together because they are in the same direction. The only thing they can contact is "where are they in the sky?"

There is no direct connection between the Milky Way and the constellation. Most of the stars in the constellation belong to the Milky Way, but if the stars in the galaxy outside the river are bright enough, they will also be included in the constellation.