In lore, there are a select few entities that are aware the Destiny universe is a false or lesser reality contained within some larger, "realer" space (our universe). The most well known of these are several (or maybe all?) Ahamkara and Savathun.
The Witness, a being as old as if not older than these entities, with a presumably extensive interaction with the Veil (described as a kind of record of reality itself) doesn't seem to acknowledge this. Why? This seems like a glaring hole in its plan for a Final Shape. Does it just not care what "level" of reality it's on, so long as it has ultimate control over said reality?
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Technically Caiatl also broke the fourth wall on socials, I wouldn’t think too far into it. Savathûn is focused on the reality she resides in but explored the possibility of higher planes while the Ahamkara genuinely don’t give a damn either way so long as they feed.