Hi there!

As you described, you can join a friend's world only if they are actively playing in that world.
This is in contrast to dedicated servers, which run outside of the game. You can join dedicated servers even when nobody else is playing.

You can also use different characters.
Each time you launch the game, you select your character first. Then you pick which world you want to enter - be it your single player world, joining to a friend, or joining a dedicated server from strangers on the internet. So you can either use the same character for everything, or you can use one character for single player, another for playing online and a third for playing with friends.