Thru is just a short way of writing or texting 'through', like you guessed. Follow-through means the person plans to take the information they've been given, and learn from it, perhaps take action on it, until they reach the end. The end might mean making a decision, or completing a project, and so on. In fact, the process of 'doing' can be called the follow-up, and the end of the process is more of a follow-through.
If my answer is confusing, you can FOLLOW-UP with another question. Please do FOLLOW-THROUGH to get the best answer.