It depends. If you have, for example, booked an easyjet flight to, say, Berlin and then have a Lufthansa flight to Rome then you will have to go through immigration at the first airport (Berlin, in our example)
This is all excellent advice.
Me and a couple of chaps on here go over for a Bundesliga trip every season. We have been to Cologne, and had tickets via stubhub (I think) but it was the weekend Europe went into lockdown, and the match was postponed, so can't give specific advice!
German fans...
Interesting, I was at the Bayern Munich v Union Berlin game on Wednesday, and was having a beer with a few of their supporters. They can't stand Tuchel (and de Ligt, randomly) and were convinced Klopp was joining them. I sort of dismissed it, but perhaps there was something in it.