Actually, setting your sag is the first step in setting your rear suspension. As Paul noted in his original post, setting the sag helps you determine if you have the correct spring for your weight. If not, the suspension will not work properly no matter what you do with the clickers. Once you have the correct spring for your weight, you can move to setting the sag and clickers for your riding position and style.
As for the rear affecting the front, you are 100% correct, which is one reason the correct spring for your weight is critical. As a note, rebound is the pimary factor in the rear, while compression is the primary factor in the front. This is not to say that front rebound and rear compression are not important, just less critical. When we purchase new bikes, it usually takes 2-3 months to get the suspension dialed in to be able to go fast with confidence.
Rick