SPV validation is part of the proof sequence (the main part), but just to address your concerns, I can break it down further. Every cross-chain transaction is broken down into 3 steps: 1. Burn: A continuation is executed on the source chain (think coroutine, which yields provenance information about the transaction: txid, target chain, module hash etc.). Txids for continuations are unique, as are module hashes. 2. SPV: An SPV proof is generated interactively once the first step is in a block. 3. Create: the SPV proof receipt is redeemed on the target chain, which calls back to the source chain, validates the proof, peels open the particulars of the provenance information generated as a result of validation, validates it, and creates coins on the new chain. Every time you do something cross chain in this network, you are backed by multiple security guarantees: uniqueness of txids, uniqueness of module hashes, uniqueness of provenance information etc. SPV in this case is a nice little protocol to automate the fetching and validation of a proof of burn on the source chain. This is perhaps a bit of a sledgehammer compared to what could be done, but it is definitely not insecure - it's used more for a validation path to a cryptographically strong set of facts than it is for its own value.
This sounds like it only helps in simple 2 chain tx, not a 3 chain tx
All chains talk to each other, so you are assuming
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