No, they need not follow on. In your example Kontakt could use MIDI channels 01-16 and any of its 64 (!) outputs.
The MIDI channel number is embedded in every MIDI note (and MID control messages etc) It can be used in Reaper to select certain note, for routing. What the plug-in does with notes on different MIDI channels is up to the plug-in.
MIDI Busses are a Reaper construct - the set of 16 MIDI channel can be assigned to a MIDI bus. Reaper uses MIDI Busses for routing too. In fact, the only standard way to get the MIDI onto a MIDI Bus is to Send that MIDI to another track. Plug-ins on that track can set set to pick up MIDI only from a selected Bus.
Audio channels are associated with tracks is Reaper. Some plug-ins (including Omnisphere and Kontakt) can output to multiple channels on the track. Reaper can route audio on different channels to other tracks or can apply different FX to them.
Here's a pic of MIDI and audio channels for an old version of Kontakt (4),for the edition that has 8 audio outputs.
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https://i.imgur.com/NsTdg0G.png