EE Members and MSM. Does one set which members belong to which site?

With MSM, members belong to all sites, with the same username, login, profile across sites. However permissions can be set per site. For example, on site A, a role may have access to the control panel and the ability to post entries, while on site B that role can only access the frontend.

Member data is available across all sites, member role permissions can be site specific.