When running in HTTP Origin Mode, and having the clients connect via a CDN, the only connections you should see on your Wowza server will be from the CDN servers. So yes, you will save bandwidth on the Wowza server in this mode.
For one player connecting to the CDN and the CDN server connecting to your Wowza server, you are correct.
When you have hundreds of players connecting to the CDN and all requesting the same stream, you will still only have one connection from the CDN server to your Wowza server. If the CDN is using multiple servers in different regions then you may see each one connecting your your Wowza server separately.