Do all the stars visible to the naked eye belong to Milky Way?
All stars visible individually to the naked eye belong to the Milky Way. A handful of galaxies are visible to the naked eye, but here you only see the combined light of millions to billions of stars.

The only exception is when a massive star ends its life, exploding as a supernova. This can be visible to the naked eye for a brief perdiod of time. Most notably, the gamma-ray burst GRB 080319B was visible to the naked eye for roughly 30 seconds in 2008, despite its distance from us being $\sim10^5$ times the size of the Milky Way.