So in this way all the speeds of flashing are running in the background
In a way, yes.
Stop and think about it.
Once a LED is lit, or shut off, it stays in that state - you don't have to refresh it, and it stays in that state for the vast majority of the time.
The only time the processor is involved is at the transitions from on to off or vice versa, and these transitions take very little time; just long enough to toggle a variable and write to a port.
A microsecond or so, allowing for Arduino overheads.
You could do thousands of these transitions per second, and a human user would perceive all the operations as concurrent