I thought all the worlds were equally real - or the 'real' world we know equally false? That's why I never understood doujins making out these worlds are false and somehow suspect or don't count - when our reality is plenty real enough to live out your lives in.
There is no 'real' real world - the fact there is some underlying truth is irrelevant to the worlds they live in imo - and living out a life in any of those worlds as good and real as our lives - at least according to what I understand of the show.
But then it's got quite a few really dumb ideas lol, that make zero sense - so not worth trying to philosophize about it.
I believe it's more to do with them not having their memories. The world isn't necessarily false, it's just not truthful I guess.
Okay, so I'm not sure if this actually exists or if it was a weird dream I had but it was a Madoka Magica doujin that was about how Homura was getting letters from Madoka that were addressed to Sayaka. She is confused about why the letters were being sent to her but then she finds out that Sayaka had lived in her apartment before she had killed herself. She then decides to write back to Madoka as if she was Sayaka.
I am like 90% sure that this is a real thing that exists but... Who knows.