Why do I get a different RSA fingerprint when multihopping using ProxyCommand

Question

I'm using the following config to connect to multihop to the target host (gw2 and target have my public key stored in the authorized_keys file ; no netcat on all systems):

Host gw1
 HostName 255.255.255.1
 User john

Host gw2
 HostName 255.255.255.2
 User jack
 ProxyCommand ssh gw1 'exec 3<>/dev/tcp/255.255.255.2/22; cat <&3 & cat >&3;kill $!'

Host target
 HostName 255.255.255.3
 User jill
 ProxyCommand ssh 255.255.255.2 'exec 3<>/dev/tcp/255.255.255.3/22; cat <&3 & cat >&3;kill $!'

I cleaned my known_hosts file and connected to gw2 using ssh gw2 from the local machine. The fingerprint is different from the one I expect. The same happens when I ssh into target using ssh target from the local machine, the rsa fingerprint is different.

When I ssh into gw1 and then into gw2 (from gw1) ssh-keygen -lf /etc/ssh/ssh_host_rsa_key.pub produces the fingerprint I expect.

I'm (fairly) certain that there is no MITM going on. Can anybody explain to me this behaviour? Should I be worried?