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An idea someone could run with: the First World *does* connect the Prime Material with another plane. Its just, that connection is very tightly guarded against, because its a very very bad one: the Qlippoth, the realm outside existence from which aberrations and horrors come from. This is partly why the Dark Tapestry exists- the link between the First World, the Qlippoth, and the Prime Material makes the empty material places between stars the easiest place for such beings to incur upon the planes.
Now, actually traversing this route is really hard, since one of the few things all the Eldest agree upon is "No trafficking with anti-existence horrors". However, its still probably the safest and easiest route for a mortal being who wants to reach the Qlippoth, since the alternatives tend to involve things like "Do a deep dive through the entirety of the Maelstrom's chaos" or "Use artifact-level magic to punch a hole in the planar shell, and hope you are gone before someone like Pharasma or Desna shows up".
That's some epic level adventure there. Nobody, and I do mean nobody, wants mortals making that kind of planar journey.
If you go through limbo you end up in endless, formless, chaos. A plane shift, elf gate, or use of the planer codex is the 'best' way to reach the Qlippoths.
My head cannon is that the dark tapestry is a transitive plane to the mythos which is a different multiverse so different in physical laws that you have to be nuts to even navigate there.
What I'm trying to say is, the first world is likely connected to other material planes by the fairy rings and standing stones.