I think Roblox exists in just one world (in one place).

I think this because when I leave a game, there’s a split second where you just see the sky—maybe all the players are standing in one spot, or they’re scattered but just standing still. Perhaps when someone creates a new place, Roblox automatically generates the platform chosen in Roblox Studio; if a developer sets a different sky, maybe there are boundaries to it? I don't blame you if you think this sounds stupid.