There is little to no auto-generated Python code. The underlying C++ code is in libpandaexpress.dll, libpanda.dll, and more of these libraries, which are loaded by panda3d.py (for new-style imports) or pandac.PandaModules (for old-style imports).
So, I’d say you’re on the right path. built/direct is really just a copy of direct/src.
Loading the libpanda library crashed for me last time I tried (although libpandaexpress and using its classes worked fine), which means that you’ll probably run into this when you get to the pandac.PandaModules or panda3d.core imports. I have not had the time to track this down yet. However, you should be able to get quite far without this already.