It does, but I think what the Pi does is connect to the TFTP server handed out by PXE and then look for a folder named serial-number. If it doesn't exist in the path PXE gave it it just boots whatever is in the tftproot.

Might or might not. It does DHCP request and server-side, you can do decision on what it returns on any tag you want, often client architecture (0x93); you can then point to the right tftp server, or if you have UEFI client, you can also use http.