Is Sonoff fully compatible with HA?
Both Zigbee and Wi-Fi products work.
Wi-Fi products work directly via their own eWeLink firmware (cloud) and via replacement Tasmota firmware (local, no cloud, faster). Flashing Tasmota to a new device isn’t easy, but it is worth it.
Is there any Sonoff Dual R3 zigbee version?
No idea. See Reference 1.
Sonoff Wifi version goes through my Sonoff Zigbee Bridge or it goes to my wifi router directly?
Zigbee is a different radio protocol from Wi-Fi. See Reference 2.
A Sonoff Wi-Fi device contains an ESP microcontroller to connect directly to WiFi, and hence to Home Assistant via Wi-Fi, TCP/IP, and MQTT. Sonoff Wi-Fi kit (and Shelly) can run several firmware options - Sonoff, Tasmota, or even ESPhome.
Sonoff Zigbee kit is completely different - hardware, radio, protocol.
this post!