From this, it's clear you've never read and understood Moggi's seminal paper. Monads are functors with some extra monoidal structure. The concept, and even Moggi's use of it in categorical semantics, has nothing to do with "worlds".
The important realization is that there are many more monads than just the one hardcoded into one's programming language of choice. State, error handling, parsing, reading from an environment, backtracking, nondeterminism, mutable state, logging, probability, continuations, async/await, I/O, ...these are all just specific instantiations of the general interface of monads. Recognizing that allows you to build abstractions that work for any monad, rather than re-discovering and re-implementing the same idea for each one separately. It's been a remarkably fruitful area of research.