MMO Understanding

It is the game world. You also check your inventory, use the online shops, chat, setup rooms on lobby, etc. This is all still connected to a server. Your connected as soon as you select a server and join. The game world would be everything that revolves around the game once turned on. So yes the lobby itself and all the features on it is still the game world. The menus just are not in game like traditional MMO’s you have to be at the lobby.