For the two questions, the answers I would give are:
1. Yep, pretty much. The First World is one giant infinite plane, sort of like a Minecraft map except bigger. Though strictly speaking its probably not exactly a *plane*, in that space is weird and different areas may connect in unexpected ways. Just because you go a thousand miles straight 'east' to go from one town to another, doesn't mean that you can't go back via a ten mile semi-circular hike.
2. I would suggest they aren't illusions, but they also aren't in an endless sky, either. If you look up at the moon, you probably can travel to it. . . but the moon you see is maybe only 10 miles up or so. It is not an astronomical body, and its very much still part of the world beneath you. For that matter, the moon likely descends to the surface of the First World every day.