Mode 1 = Station mode (client): the ESP can connect to an AP in the vicinity.
Mode 2 = AP mode (host): a client (like a smart phone, laptop, etc.) can connect to the ESP.
Mode 3 = AP + Station mode: the ESP can connect to other AP's and client can connect to ESP.
You *should* never have to change the MAC anywhere; it is possible, but you generally never need it.
After having made contact to an external AP, make sure your ESP has an IP address (either gotten over DHCP from the remote AP/network) or by manually (in the ESP) setting a valid IP address, gateway and netmask.
If clients that need to connect to the ESP need IP settings, make sure DHCP is enabled on the ESP (AT+CWDHCP)
In theory that should be it.