How close are fluorescent dyes to individual neurons in two photon microscopy?

When using a genetically encoded fluorescent dye like GCaMPs, the calcium-sensitive proteins are produced in and located inside the cell. That's where they have to be because they are measuring the calcium concentration inside the cell.

When using an injected dye like Oregon Green BAPTA, it's common to use an AM ester form of the dye (for example see this product from ThermoFisher: https://www.thermofisher.com/order/catalog/product/O6807#/O6807 - also not meaning to promote any particular merchant, you can search "oregon green BAPTA AM" and get other results). The esterified version of these dyes are cell-permeant and then are cleaved by an intrinsic esterase to become non-cell-permeant. This means that again, the fluorescent calcium sensor molecules are within the cells where you want them to be so that they measure internal calcium concentrations. Any AM dye that remains in the extracellular space will not fluoresce without the esterase, which is good because that would otherwise contribute to unwanted background signal.