"Other Worlds" is a recurring phrase in The Nexus Nebula Saga.
"The pale man may have appreciated this place at one point, but now it’s become as corrupt as every other world. This place is an abomination, just like you."
Kelly Enya Clegg (Momma Grizzly):
Other worlds? Pale man? How much did Ethan leave out when he was telling me his story?
"I hope your little vengeance is satisfying for you, because in the end it’s nothing! I’m talking about other worlds, Healer! Other worlds! Nothing you can do here will ever matter!"
As the In Sheep's Clothing arc is clearly set in a different reality from Momma Grizzly, the use of this phrase suggests that at least some characters might be aware of the events taking place across multiple dimensions.
More will be revealed as the series develops.