I can't think of any examples where the (functional) workings of the platform are secret :) I'm happy to write some more blog posts about the inner workings of Mendix and in fact I have at least 2 topics that I want to cover already and many of my colleagues have some ideas too.
To give you some quick answers:
Client actions are executed in the order they appear in the microflow, but feedback to the client is sent when the server is done executing the microflow, along with the rest of the results. This means that things like showing messages will appear to be done at the end, because only then the client gets told about it. But if there is an expression in your 'show message' action then it will be rendered where you would expect it.
XPath retrieves are always executed on the database without merging existing cached data. There are other types of retrieves that do merge data though, like when you retrieve over an association.