It's another world that exists alongside our own--a world made up of people's cognitions, all come together to define its own kind of reality. If people's thoughts are distorted, then it can change things in that world in a dangerous way.

[That's the Cliffnotes version, at any rate. But..... is it really embedded, if the Metaverse is everywhere? Does it honestly matter Where he is?]

I'm told there aren't enough people here to fully form that world, but we can still access isolated parts of it--so it's less specific to any particular world, and more dependent on having enough people to sustain a shared reality.