When the device first does a Join, the SF is fixed at the default, which is the slowest possible speed. This is DR0 according to the Lorawan specification. For EU868 mode this equates to SF12 and BW125. The device will NOT attempt to adapt the SF automatically.
The device would only ever action a change if it receives a LinkADRReq from the gateway that tells it to use a different setting. The device replies with a LinkADRAck in the next UPLINK to either confirm that this was OK or to say why it wasn't. For example, if the gateway asks the device to do something that it cannot do, then the settings are left unchanged and the LinkADRAck will show that it was rejected.
The LinkADRReq from the gateway is the only way in which the device will ever adjust the TX power or data rate.
If the server / gateway sends a LinkADRReq command then it expects to receive a LinkADRAck in the next UPLINK. If it doesn't receive one, it will assume that the device didn't receive the DOWNLINK and will probably send the same LinkADRReq again. Even if the device receives a command that it cannot process, there will be a response to tell the server / gateway that the command was received OK but failed
In proprietary LoRa mode, there is no ADR, the power is fixed to 25mW and never changes.