Binding to a Web Service creates a schema reference in your manifest and adds an XSD file to your form's XSN package.
InfoPath automatically constructs the XSD based on the parameters in the Web Service.
Secondary data sources don't have the same high bar for validation that the main data source has. That makes them faster, but you lose some functionality (master-detail, etc.)
You can Query a Receive Web Service and Submit to a Submit Web Service.
Double click the button you add. Add a rule with an action to query a data source and choose your data connection.