But it seems the Java applet and stuff all come from the drive itself and not from WD2GO...
In "Step 2," yeah, all the authentication goes thru the drive. However, the advantage to the WD 2go "service" is that it aggregates all your drives in one portal. I have five WD drives, and they all appear on the same portal. I don't have to keep track of which port is handling which drive (since the UPnP backend is dynamic and ports can change from time to time) etc.
The EX2 and EX4 do have direct connect capability via WebDAV; just not the Cloud or other similar NASes.