Your character data and world data are two separate things.

You can use your character in any world and it saves all progress and character inventory.

Generally servers are password protected private servers. There are no official game servers run by the devs. So typically you won't have strangers just popping into your game or anything.

Base game has a 10 player limit per server so it isn't like an MMO and people invest time and effort into their worlds and don't really want random people to come in and ruin or steal everything you worked for. That is why most people use passwords.