HAProxy (like many load balancers) generally maintain two conversations. The Proxy has a session (tcp in this case) with the client, and another session with the server. Therefore with proxies you end up seeing 2x the connections on the load balancer. Therefore all traffic flows through the load balancer.
When it comes to scaling across multiple load balancers I don't think you need to. But a practical and fairly easy way to do this is use something like keepalived with two floating IPs and round robin DNS between those two IPs. With keepalived, if one of the load balancers goes down the other would hold both IPs, so you get high availability this way. That being said, I think you will be fine with one active haproxy instance with your load.
HAProxy scales very well. An an example, the Stack Exchange network use web sockets which maintain open TCP connections. While I am posting this we have 143,000 established TCP sockets on a VMware virtual machine with no issues. The CPU usage on the VM is around 7%.
With this sort of setup with HAProxy make sure you set
maxconn high enough. Here is some example HAProxy config to get you started:
timeout client 3600s
server web1 10.0.0.1:1234
server web2 10.0.0.2:1234
timeout connect 1s
timeout queue 5s
timeout server 3600s